return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility …

return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility …

successfully replicates (1) the volatility of stock prices and (2) the positive correlation between the price dividend ratio and …

- and second-moment exchange rate exposure on individual firm value and the stock return volatility underlying exchange rate … equity financing cost. -- exchange rate exposure ; asymmetric currency exposure ; financial crises ; asymmetric volatility …

-trading volatility are predicted to have more crash risk, supporting the view of “arbitrage risk mechanism”. Furthermore, we find that … higher margin-trading volatility results in higher overpricing and less information content …

model specifications, volatility effects and other robustness considerations continue to support our results. These results …

quantitatively replicates (1) the volatility of stock prices and (2) the positive correlation between the price dividend ratio and …

This paper investigates the role of volatility risk on stock return predictability specified on two global financial … volatility forecasting measures on future stock returns in four different periods (bear and bull markets). First we find clear … and robust empirical evidence that the implied idiosyncratic volatility is the best stock return predictor for every sub …

-trading volatility are predicted to have more crash risk, supporting the view of “arbitrage risk mechanism”. Furthermore, we find that … higher margin-trading volatility results in higher overpricing and less information content …