" states - following market declines and when market volatility is high - and are contemporaneous with market rebounds. We show …

According to conventional wisdom, annualized volatility of stock returns is lower when computed over long horizons than …

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

volatility. The model predicts that volatility leads high frequency traders to reduce their provision of liquidity. Finally, we …

Major events often trigger abrupt changes in stock prices and volatility. We study the implications of jumps in prices … and volatility on investment strategies. Using the event-risk framework of Duffie, Pan, and Singleton (2000), we provide … become illiquid and the optimal strategy blends both dynamic and buy-and-hold strategies. Jumps in prices and volatility both …

information aggregation leads to excess price volatility, over-valuation of shares in response to good news, and undervaluation in …

We study the impact of model disagreement on the dynamics of asset prices, return volatility, and trade in the market … disagree about the length of the business cycle. We show that model disagreement amplifies return volatility and trading volume …, we find that while the absolute level of return volatility is driven by long-run risk, the variation and persistence of …

that, after monetary policy announcements, the conditional volatility rises more for firms with stickier prices than for …