One of the main explanations for the idiosyncratic volatility (IVOL) puzzle (i.e., the negative relation between lagged … IVOL and returns) is a missing risk factor. We show analytically that if IVOL proxies for a missing risk factor, then the … risk factors. Overall, our results suggest that both diversifiable (i.e., true idiosyncratic risk) and non …

) The Volatility Puzzle. We offer resolutions of those objections within the rational finance. We do not claim that those …

This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks … 80% of the equity and variance risk premia, respectively. I provide a categorization of sectors based on the risk profile …

empirical evidence is consistent with investors’ attitudes toward uncertainty and risk, firms’ fundamentals and leverage effects …

how these volatility measures can be used for risk management. We find that momentum risk management significantly …We introduce a new class of momentum strategies, the risk-adjusted time series momentum (RAMOM) strategies, which are … based on averages of past futures returns, normalized by their volatility. We test these strategies on a universe of 64 …

positively only when the trader executes a successful trade or stays flat otherwise. We apply the ESR formula to a sample of risk …

-varying volatility are preferred to the long-run risk model. We analyze asset pricing implications of the estimated models …

This work evaluates the behavior of portfolios comprised of Brazilian stocks ranked by their volatility to investigate … the low volatility anomaly.Between January 2003 and December 2021, the low volatility portfolio presented a 6% annual … return above the high volatility portfolio. This result is aligned with the observation made by Blitz and Van Vliet (2007) in …

variation can resolve several asset-pricing puzzles, including the large countercyclical variation of expected risk premia, the … volatility of the price--dividend ratio, the predictability of cash flows and returns, and the large predictability of returns in … explanatory power of long-run risk asset-pricing models …