information-based model demonstrates that the correlation of beliefs implied by analyst forecasts leads to return correlations … broadly in line with the data, both in levels and across countries - the correlation between predicted and actual is 0.63. Our … findings have implications for market-wide volatility - the model-implied correlations alone can explain 44% of the cross …

macro factors are still important in fitting bond return volatility; whereas the "variance premium" is critical in …We study the economic sources of stock-bond return comovements and its time variation using a dynamic factor model. We … stock and bond return correlations, but that other factors, especially liquidity proxies, play a more important role. The …

stock price reaction to news, and hence lowering the stock return volatility. Thus, in addition to uncertainty about … fundamentals, uncertainty about CEO quality is also a source of stock return volatility, which decreases over a CEO's tenure as the …'s prospects. Overall, uncertainty about management quality appears to be an important source of stock return volatility …

This paper uses a disaggregated approach to study the volatility of common stocks at the market, industry, and firm … levels. Over the period 1962-97 there has been a noticeable increase in firm-level volatility relative to market volatility …, while the number of stocks needed to achieve a given level of diversification has increased. All the volatility measures …

, volatility and stock returns. To do this, we use a large sample of individual accounts over a six-year period in the 1990's in …

, return volatility, and trading volume in the mortgage-backed security market. We find that increased disagreement is … associated with higher expected returns, higher return volatility, and larger trading volume. These results imply that there is a … positive risk premium for disagreement in asset prices. We also show that volatility in and of itself does not lead to higher …

momentum crashes also forecasts the correlation between momentum strategy and value strategy, two of the benchmark investment … styles often used in performance appraisal of quant portfolio managers. The correlation is conditionally negative only when … the probability of the economy being in a turbulent state is high. The conditional correlation is zero otherwise, which is …