" states - following market declines and when market volatility is high - and are contemporaneous with market rebounds. We show …. These results are robust across multiple time periods, international equity markets, and other asset classes …

time-varying weight in new lists, and one can decompose the market return into a fixed weight return plus a timing return …

Managed portfolios that take less risk when volatility is high produce large alphas, substantially increase factor …, profitability, return on equity, and investment factors in equities, as well as the currency carry trade. Volatility timing … average returns. This rules out typical risk-based explanations and is a challenge to structural models of time …

individual investor sentiment toward closed end funds and other securities. The theory implies that discounts on various funds …

conditional performance evaluation, using time-varying conditional expected returns and risk measures. We find evidence that the … investment performance of pension fund managers persists over time. A conditional approach is able to better detect this …

This paper incorporates a time-varying intensity of disasters in the Rietz-Barro hypothesis that risk premia result … from the possibility of rare, large disasters. During a disaster, an asset's fundamental value falls by a time …-varying amount. This in turn generates time-varying risk premia and thus volatile asset prices and return predictability. Using the …