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 …

- and out-of-sample, using predictive variables such as the dividend yield or the volatility risk premium …

model in several ways, it allows for all the primary stylized facts of financial asset returns, including volatility … volatility, but without the estimation problems associated with the latter, and being applicable in the multivariate setting for …