FTSE MIB index and its volatility, is examined using a trivariate Vector Autoregressive model, taking into account the …

model. Second, we study whether both returns and volatility of bank stock prices changes upon the disclosure of stress tests … in returns and an increase in volatility, while the reverse holds true for banks performing well. Banks performing … correlation between bank abnormal returns or equity volatility and stress test performance, which experiences a steady increase …

We propose a new approach to measuring the effect of unobservable private information or beliefs on volatility. Using … high-frequency intraday data, we estimate the volatility effect of a well identified shock on the volatility of the stock … that, as the publicly available information becomes stale, volatility effects and its persistence should increase, as the …

and thereby excess volatility, persistence of price-dividend ratios, long-horizon return predictability and a risk premium …

future crises, consistent with the volatility paradox. The results emphasize the dynamics of loss spillovers as an important …