" states - following market declines and when market volatility is high - and are contemporaneous with market rebounds. We show …. These results are robust across multiple time periods, international equity markets, and other asset classes …

time-varying weight in new lists, and one can decompose the market return into a fixed weight return plus a timing return …

Managed portfolios that take less risk when volatility is high produce large alphas, substantially increase factor …, profitability, return on equity, and investment factors in equities, as well as the currency carry trade. Volatility timing … average returns. This rules out typical risk-based explanations and is a challenge to structural models of time …

individual investor sentiment toward closed end funds and other securities. The theory implies that discounts on various funds …

interaction of momentum with market capitalization, firm age, trading volume, and stock return volatility. However, the model …

short time series of consumption data undermines the ability of tests that use the restrictions implied by the volatility … unconditional moments of asset returns, imply a lower bound on the volatility of the intertemporal marginal rate of substitution. We …

-of-sample volatility of optimized portfolios from each model. A few factors capture the general covariance structure but adding more … yield similar results. Using a tracking error volatility criterion, larger differences appear, with particularly favorable …