on subsequent stock market returns and exacerbates stock market volatility. Furthermore, stocks with large, negative …

Corporate bonds with large increases in implied volatility over the past month underperform those with large decreases … in implied volatility by 0.6% per month. In contrast to An, Ang, Bali, and Cakici (2014) who show that implied volatility … changes carry information about fundamental news, our evidence suggests that implied volatility changes contain information …

We examine the relation between liquidity, volume, and volatility using a comprehensive sample of U.S. stocks in the … after controlling for volatility, contrary to most theoretical predictions. This relation is mostly driven by the systematic … line with a continuous-time inventory model, we show that the volatility of order imbalances can reconcile our puzzling …

, regardless of the level of volatility, thus providing an explanation to the well known U-shaped pricing kernel puzzle …