Purpose - The purpose of the paper is to study the relationship between stock return correlation and volatility. Design/methodology/approach -Utilizing a logit-type regression model, the paper analyzes the incremental effect of volatility on the level of correlation. The focus of the paper is...

The market coskewness puzzle has occupied the empirical asset pricing research since the third-moment asset pricing model was introduced by Kraus and Litzenberger (1976) and Friend and Westerfield (1980). Using the Fama-French 49 US industry portfolios this paper empirically shows that the...

This article shows that differentiating between good and bad inflation news is important to understanding how inflation affects stock market returns. Summing positive and negative inflation shocks as in previous studies tends to wash out or mute the effects of inflation news on stock returns....