financial markets such as the size of the equity premium and the volatility of the stock market. In one model, the long run … significance levels, and they can track quite closely a new measure of realized annual volatility. Further scrutiny using a rich …

-return volatility increases with unused commitments, but the increase is smaller for banks with high levels of transactions deposits …

, and higher idiosyncratic volatility. The opposite result holds for acquisitions of public firms paid for with cash for … idiosyncratic volatility. We show that this evidence can best be explained by models that emphasize information asymmetries, but the …

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 …

Stock return volatility during the Great Depression has been labeled a “volatility puzzle” because the standard …, and Jones; 1990). We investigate the “volatility puzzle” using a new series of building permits, a forward-looking measure … of economic activity. Our results suggest that the volatility of building permit growth largely explains the high level …

We explore the equilibrium relation between price volatility and price informativeness in financial markets, with the … volatility. We identify two different channels (noise reduction and equilibrium learning) through which changes in price … informativeness are associated with changes in price volatility. We show that when informativeness is sufficiently high (low …

We examine the pricing of aggregate volatility risk in the cross-section of stock returns. Consistent with theory, we … find that stocks with high sensitivities to innovations in aggregate volatility have low average returns. In addition, we … find that stocks with high idiosyncratic volatility relative to the Fama and French (1993) model have abysmally low average …