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 …

;excessivequot; stock price volatility and quot;sentimentquot; fluctuations. We construct a general equilibrium model of sentiment. In it … that rational investors can do optimally to exploit, and hence, eliminate excessive volatility, except in the very long run.quot …

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

speculate on the volatility of the underlying asset, here a common stock. Using a continuous-time trading model, we demonstrate … that the quality of the private information regarding the volatility parameter together with the relative transaction costs … further show that in the presence of imprecise volatility signals, only the quot;most sophisticatedquot; traders (those with …

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 …