The monthly volatility of IPO initial returns is substantial, fluctuates dramatically over time, and is considerably … larger during "hot" IPO markets. Consistent with IPO theory, the volatility of initial returns is higher among firms whose …

Although it has been well established that financial volatility is related to news and macroeconomic shocks, there has … consol returns since 1729 and identify a greater-than-50% decline in volatility from the end of the Napoleonic wars in 1815 … volatility. Underlying political stability under Pax Britannica seems to be a more likely explanation, however …

This paper presents a comprehensive study of the interactions among returns, volatility, and trading volume between the … foreign price volatility and trading volume on correlations between foreign and domestic stock returns, the paper aims to … transmission of stock returns and volatility. Major findings are three-fold: (1) contemporaneous correlations of stock returns …

volatility …

the United States to show how stock volatility has changed over time. It also uses various measures of volatility implied … 2008. This episode was associated with historically high levels of stock market volatility, particularly among financial … sector stocks, but the market did not expect volatility to remain high for long and it did not. This is in sharp contrast to …

(average) Tobin's Q increases with firm-level volatility. The significance mainly comes from R&D firms, which have more growth … options than non-R&D firms. By decomposing firm-level volatility into its systematic and unsystematic part, we document that … only idiosyncratic volatility has a significant effect on valuation. Second, we analyze the relation of stock returns to …