which depending on the market states signaled by the level of volatility spread. We have documented that effectively, there … capital. We then propose the volatility spread as the active management factor into the Carhart's model used to evaluate …

Conventional financial theory considers ex-ante that risk, generally measured by the volatility, has to be …

than 30% of SP500 securities can have percentage change in volatility of more than 10% as a result of noise filtering …, variances (diagonal elements of the covariance matrix - squares of volatility) contain noise as well. Our noise …

observed volatility of private equity returns is unrealistically low because the recorded returns of private equity are based … the observed volatility. As an alternative to observed volatility some investors have argued that private equity … volatility should be estimated as leveraged public equity volatility, because private equity companies are more highly levered …

;excessivequot; stock price volatility and quot;sentimentquot; fluctuations. We construct a general equilibrium model of sentiment. In it … that rational investors can do optimally to exploit, and hence, eliminate excessive volatility, except in the very long run.quot …