We characterize the joint dynamics of dividends, expected returns, stochastic volatility, and prices. In particular …, with a given dividend process, one of the processes of the expected return, the stock volatility, or the price …-dividend ratio fully determines the other two. For example, together with dividends, the stock volatility process fully determines …

increase in total volatility led to a significant increase in market risk (beta) for the multinational firms relative to the … the relation between exchange rate variability and stock return volatility and by decomposing this relation into … components of systematic and diversifiable risk. Focusing on two periods around the 1973 switch from fixed to floating exchange …

idiosyncratic stock market volatility, on individual outcomes. We find that firms provide at best partial insurance to their workers …

stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility …The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy … ("uncertainty"), we find that a lax monetary policy decreases both risk aversion and uncertainty, with the former effect being …

It appears that volatility in equity markets is asymmetric: returns and conditional volatility are negatively … correlated. We provide a unified framework to simultaneously investigate asymmetric volatility at the firm and the market level … and to examine two potential explanations of the asymmetry: leverage effects and time-varying risk premiums. Our empirical …

market's poor performance during the 1970's can be explained by volatility-induced increases in risk premia …This paper examines the potential influence of changing volatility in stock market prices on the level of stock market … prices. It demonstrates that volatility is only weakly serially correlated, implying that shocks to volatility do not persist …

We create a newspaper-based Equity Market Volatility (EMV) tracker that moves with the VIX and with the realized … volatility of returns on the S&P 500. Parsing the underlying text, we find that 72 percent of EMV articles discuss the … Macroeconomic Outlook, and 44 percent discuss Commodity Markets. Policy news is another major source of volatility: 35 percent of …

) levels of volatility. These results provide a novel perspective on both the equity risk premium and excess volatility puzzles …