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 …

implications from a long-run risk model incorporating both time varying volatility and volatility uncertainty. We provide new … direct estimation of the underlying “structural” shocks and economic transmission mechanisms, including a new volatility …

The paper shows that controlling for the aggregate volatility risk factor eliminates the puzzling negative relation …

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 …