randomly,” Industrial Management Review 6, 41–49.] proposes the maturity effect that the volatility of futures prices should … increase as futures contract approaches maturity. This study provides new evidence on the maturity effect by examining a more … drawn from 61 commodities, including some data from non-US markets, we find that the maturity effect is absent in the …

Financial markets behave in a volatile manner at certain stages in their maturity. These volatile conditions pose a … conditions. It was observed that moderate levels of market volatility combined with high-performing indices provide the scenario …

Stocks with recent past high idiosyncratic volatility have low future average returns around the world. Across 23 … developed markets, the difference in average returns between the extreme quintile portfolios sorted on idiosyncratic volatility …, and higher moments. There is strong covariation in the low returns to high-idiosyncratic-volatility stocks across …