volatility (IVOL) and aim to examine the association between REM and IVOL. We further investigate whether information asymmetry …

This paper examined the association between various measures of earnings quality and stock return volatility of … accrual quality, conservatism, earnings persistence, predictability and smoothness. The stock return volatility was measured … with idiosyncratic volatility. Multilevel linear regression found that accrual quality and earnings persistence are …

1960. We hypothesize and find that deteriorating earnings quality is associated with higher idiosyncratic return volatility …

The continuing volatility in equity markets following the global financial crisis has led the focus of the global … investment community towards low volatility stocks. This pursuit of low risk investments has drawn attention of the investor … identifying low volatility investment sectors in Indian market. Using data from the S&P CNX Nifty Index and the CNX Infrastructure …

volatility, generating a negative volatility skew in option prices. Using a large sample of U.S. equity options, we provide …

with higher pre-crisis earnings volatility, causing investors to demand a higher ambiguity premium for such firms. While … there is no relation between earnings volatility and stock returns under normal conditions, there is a significant negative … relation between crisis-period stock returns and prior earnings volatility. In other words, during economic turmoil, investors …

The prevailing view of implied volatility comovements, IVC, defined as the correlation between a firm's implied … volatility and the market's implied volatility, is that they indicate the presence of systematic volatility risk to the firm …'s investors. We take a different stance and conjecture that implied volatility comovements can also indicate expected information …