We document that implied volatility (IV) curves extracted from short-term equity options frequently become concave …. Firms with concave IV curves exhibit significantly higher absolute stock returns on EAD and higher realized volatility after …

conversion features come with a lower subsequent volatility of the bank asset value, but are inferior to equity in terms of their …

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 …

We derive representations for the stock price drift and volatility in the equilibrium of agents with arbitrary …, intrinsic characteristic of the aggregate dividend process that we call the "rate of discounting volatility" and show that, in … equilibrium, the size of market price of risk is determined by the market price of discounted dividend volatility (DDV …

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 …

of singular measures corresponding to a general form of volatility uncertainty. We derive a càdlàg nonlinear martingale …