-run risks model of Bansal and Yaron (2004) by allowing both a long- and a short-run volatility components in the evolution of … economic fundamentals. With this extension, the new model not only is consistent with the volatility literature that the stock … market is driven by two, rather than one, volatility factors, but also provides significant improvements in fitting various …

We investigate whether firm fundamentals can explain the shape of option implied volatility (IV)curve. Extending Geske … after controllingfor historical volatility, risk-neutral skewness, kurtosis and systematic risk ratio. Moreover …

by volatility generates investment timing portfolios that often outperform the buy-and-hold strategy substantially. For … high volatility portfolios, the abnormal returns, relative to the CAPM and the Fama-French three-factor models, are high …