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

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 …

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 …

to hedge jump risks, but not volatility risks. The effect of ESG performance is more prominent during the periods when …