In contrast to earlier decades, since the early 2000s, the average idiosyncratic volatility of stocks has fallen back … to its pre-1990s level. Here, we examine whether decreasing volatility still helps to explain the cross … average bond returns and lag idiosyncratic volatility are positively associated. The average returns on bonds with high …

three market regimes. A consistent parametric framework of stochastic volatility is used. All empirical market utility …

nature of the answer when the volatility differential is due to the systematic/priced risk. Here the difference in the … direction and magnitude of the net effect depends on the levels of asset beta and volatility and the moneyness and maturity of … nonlinear derivatives, one should pay attention to the source of volatility differential, and the sample range/mix of betas …

This study examines the relation between aggregate volatility risk and the cross-section of stock returns in Australia …. We use a stock's sensitivity to innovations in the ASX200 implied volatility (VIX) as a proxy for aggregate volatility … risk. Consistent with theoretical predictions, aggregate volatility risk is negatively related to the cross-section of …

An anchoring-adjusted option pricing model is developed in which the volatility of the underlying stock return is used … as a starting point that gets adjusted upwards to form expectations about call option volatility. I show that the …

future returns. We argue that these firms have negative alphas because they are a hedge against expected aggregate volatility …, and the aggregate volatility risk factor can largely explain the high RSI effect. The key mechanism is that high RSI firms … more valuable as idiosyncratic volatility goes up. Idiosyncratic volatility usually increases with aggregate volatility (i …

Prior research documents that volatility spreads predict stock returns. If the trading activity of informed investors … is an important driver of volatility spreads, then the predictability of stock returns should be more pronounced during … major information events. This paper investigates whether the predictability of equity returns by volatility spreads is …

CAPM in periods of increasing aggregate volatility and thereby provide a hedge against aggregate volatility risk. The … aggregate volatility risk factor can explain the abnormal return differential between high and low disagreement firms. This … return differential is higher for firms with abundant real options, and this fact can be explained by aggregate volatility …