NYSE, we examine whether firm volatility is related to market volatility. The main contribution of this paper is that we … develop an analytical framework motivating the firm-market volatility relationship. We present three new findings on … volatility. First, we discover significant evidence of common volatility; for 12 out of 14 sectors, market volatility has a …

In this paper, we test whether January and turn-of-the-month (TOM) affect firm returns and firm return volatility … January and TOM affecting returns and return volatility of firms. The effects are, however, different for different firms and … heterogeneous effect on firm returns and firm return volatility …