We present empirical evidence that stocks with low volatility earn high risk-adjusted returns. The annual alpha spread … of global low versus high volatility decile portfolios amounts to 12% over the 1986-2006 period. We also observe this … volatility effect within the US, European and Japanese markets in isolation. Furthermore, we find that the volatility effect …

This paper examines the link between research and development (R&D) and idiosyncratic volatility for a panel of large … idiosyncratic volatility higher. Our results show that R&D investment intensity should be considered as a determinant of the … idiosyncratic volatility and that R&D increases the riskiness of the firm. …

volatility need not be increased value and postponed investment. This depends on signs of correlations and what parameters are … held constant. For real options, the rate-of-return shortfall may change. The CAPM is commonly used to determine this. In … market is nonpositive and not invariant to changes in volatility. For crude oil during 1993–2008, these changes are …

We present empirical evidence that stocks with low volatility earn high risk-adjusted returns. The annual alpha spread … of global low versus high volatility decile portfolios amounts to 12% over the 1986-2006 period. We also observe this … volatility effect within the US, European and Japanese markets in isolation. Furthermore, we find that the volatility effect …

up the annual beta’s change attributed to the volatility market effect, the stock volatility effect, the correlation …

deductive theory based on simplified rationality of the physical world. The behaviour of the markets cannot be derived from … e.g. the CAPM. SIM and MIM frameworks. The multifractal view of e.g. Mandelbrot concerning the market behaviour. has … inspired the outline of the Volatility Asset Pricing Model (VAPM) based on the market’s expected volatility and the serial …

oil market is characterized by volatility persistence, (2) a negative shock has more impact on future volatility than an … equal positive shock, (3) crude oil volatility is lower at higher prices, (4) OPEC meeting announcements and the Petroleum …This paper examines the causes and behavior of price volatility in the US crude oil market. Although crude oil prices …