model specifications, volatility effects and other robustness considerations continue to support our results. These results …

of the stocks with high idiosyncratic volatility (high IVOL). An out-of-sample prediction of future profitability is …

cross-listed shares demonstrate strong volatility spillovers, which is driven by the covariance structure that are formed by … volatility for some firms but no evidence that spillover effects run from volatility to liquidity …

this, put forward the view that stock and bond return volatility is key. Evidence from the 2000s suggest that the relative … that the relative equity and bond yield values are, to a large extent, driven by inflation volatility. High inflation … volatility persisted during the first half of the twentieth century when the equity yield was higher. This was followed by more …

This paper examines mean and volatility spillovers between the Turkish stock market with international stock, exchange …

This paper considers whether adding two established anomalies, momentum and low volatility, will improve our … derived from each asset pricing model. Our results suggest that the momentum and volatility factors provide no additional … model. Of note, the momentum and low volatility factors exhibit limited statistical significance, have similar coefficients …

incorporation of supply and demand shocks generally improves the forecast of portfolio volatility under various portfolio weighting …