1.71% per annum. Consistent with theory, we find that the volatility of stocks with longer memory is more predictable …This paper examines long memory volatility in the cross-section of stock returns. We show that long memory volatility … capitalization, book-to-market ratio, prior performance and price jumps. Long memory volatility is negatively priced in the cross …

This study examines the ability of investor sentiment to predict conditional volatility and excess returns at both … been confirmed that bullish (bearish) sentiment increases (decreases) volatility which in-turn affect the mean variance … relationship. However, the commonality of the effect of investor sentiment via conditional volatility has not been uniform across …