significantly differs from zero. Then they took this result as a proof in favour of the theory that there is in the real world a … favour of the theory that the market portfolio is efficient. In this article, we present several tests and arguments that put …

Implied volatility indices should have information about risk parameters, once they are cleansed of the influence of … normal volatility dynamics and macro-economic uncertainty. Building on intuition from the dynamic asset pricing literature … spreads while controlling for realized volatility, expectations about the macroeconomic outlook, and interest rates. We apply …

volatility need not be increased value and postponed investment. This depends on signs of correlations and what parameters are … market is nonpositive and not invariant to changes in volatility. For crude oil during 1993-2008, these changes are …

deductive theory based on simplified rationality of the physical world. The behaviour of the markets cannot be derived from … inspired the outline of the Volatility Asset Pricing Model (VAPM) based on the market’s expected volatility and the serial …

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 …