the joint dynamics of its volatility and Sharpe ratio as functions of yield curve variables, and of VIX in the US. We have … volatility is as important as time variation in bond Sharpe ratios. (3) Bond risk premia are solely compensation for bond risk …

This paper reviews the literature on idiosyncratic equity volatility since the publication of "Have Individual Stocks …, Gharghori, and Zhong and by Leippold and Svaton, and we present volatility estimates through the end of 2021, significantly … period, idiosyncratic volatility declined thereafter; but sharp increases in market, industry, and idiosyncratic volatility …

Stocks with recent past high idiosyncratic volatility have low future average returns around the world. Across 23 … developed markets, the difference in average returns between the extreme quintile portfolios sorted on idiosyncratic volatility … higher moments. There is strong comovement in the low returns to high idiosyncratic volatility stocks across countries …

the relation between exchange rate variability and stock return volatility and by decomposing this relation into … rates, we find a significant increase in the volatility of U.S. multinational monthly stock returns corresponding to the … period of increased exchange rate variability. This increase in stock return volatility is also significant relative to the …