comovements and the other volatility-induced return comovements. Following Baker and Wurglur (2006), we construct an investor … market volatility. We find that a correlated trading behaviour along with investor sentiment significantly determines excess … stock returns. Also stocks with high volatility exhibit higher return comovement properties compared to low volatilie stocks …

) The Volatility Puzzle. We offer resolutions of those objections within the rational finance. We do not claim that those …

Many investors we speak to are interested in making a strategic allocation to low volatility equities to help them … better meet their investment objectives. The appeal of this strategy is clear. Low volatility stocks have historically … valuation of low volatility stocks may be expensive compared to the rest of the market so they should wait for more attractive …

important mathematical factor anomalies: low volatility and momentum. By applying an explicit trend model, we show that both …. Furthermore, the model allows us to describe how low volatility uses implicitly asymmetric trend characteristics while momentum … exponent in itself allows for a momentum strategy, and it can also be utilized to significantly improve low volatility …

factors capture mispricing by being long on overpriced stocks and short on underpriced stocks. Option-implied volatility …

momentum strategy, by the inverse of its historical volatility. However, we find that the higher Sharpe ratio and the alphas of … the volatility scaled momentum strategy, in comparison to traditional momentum strategy, depends on the length of the … investment horizon. Such that, the longer the investment horizon the better is the performance of the volatility scaled momentum …

both conditional volatility and skewness. This has first order implications for managing risks associated with momentum … investing: an adjusted momentum portfolio which hedges in real time for both volatility and skewness risk outperforms benchmark … constant and dynamic volatility-managed momentum strategies. This result holds for different levels of transaction costs and …