Average idiosyncratic volatility and firm idiosyncratic volatility increase with the number of listed firms. Average … industry idiosyncratic volatility increases with the number of listed firms in the industry. We ex-plain the relation between … idiosyncratic volatility and the number of listed firms through Schumpeterian creative destruction. We show that Schumpeterian …

What drives countercyclical volatility? A large literature has documented that many economic variables are more … volatility or responsiveness is getting bigger, and these two explanations have very different policy implications. However, we … volatility shocks cannot …

Does time-varying business uncertainty/volatility affect the price setting of firms and, if so, in what way? To address … idiosyncratic volatility on the extensive margin of the price setting behavior of firms. We find that heightened business … uncertainty increases the probability of a price change, which suggests that, for price setting, the volatility effect dominates …

We exploit direct model-free measures of daily equity return volatility and correlation obtained from high …, solidify and extend existing characterizations of stock return volatility and correlation. We find that the unconditional … portfolio diversification when the market is most volatile. Our findings are broadly consistent with a latent volatility fact or …