based on averages of past futures returns, normalized by their volatility. We test these strategies on a universe of 64 … asset class, realized futures volatility is contemporaneously negatively related to the Fama and French (1987) market (MKT … in trading costs. We construct measures of momentum-specific volatility, both within and across asset classes, and show …

predictive variance. We show theoretically how this adjustment factor affects both average and volatility of excess returns. We … related to excess volatility as predicted by the model. Further confirming the model's implications, we also show how stock …

We present a self-consistent model for explosive financial bubbles, which combines a mean-reverting volatility process … started at least 4 years earlier. We confirm the validity and universality of the volatility-confined LPPL model on seven …

main result is that wealth can be grown from volatility. Our findings demonstrate the benefits of active portfolio …

shares, the market price of risk, the risk free rate, the bond prices at di erent maturities, the stock price and volatility …

domestic volatility after good shocks but a bad hedge after crashes …

predicted by standard asset pricing models by including a term that is the product of the stock's idiosyncratic volatility and … volatility and expected stocks returns. Relying on forecast revisions from IBES, we construct a new variable that proxies for … this term and show that it explains a signi cant part of the empirical relation between idiosyncratic volatility and stock …