. Proposed extensions include a volatility regime switching mechanism (using dummy variables and the Markov approach) and the … fifth risk factor based on realized volatility of index returns. Moreover, instead of using data for stocks of a particular …

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

remains a question. Using a simple model to illustrate the linkage between idiosyncratic volatility and investor overreaction …

This paper examines volatility interdependencies between value and momentum returns. Using U.S. data over the period … 1926-2015, we document persistent periods of low and high volatility spillovers between value and momentum strategies …. Moreover, we find that the intensity of the volatility spillovers may change substantially in very short periods of time and …

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

We conduct a volatility decomposition to identify the source of performance differences between low volatility and high … volatility mutual funds. A higher level of return covariance of fund holdings is associated with more fund-level exposure to the … idiosyncratic volatility effect. Average security-level variance of fund holdings is only weakly associated with idiosyncratic …

This work evaluates the behavior of portfolios comprised of Brazilian stocks ranked by their volatility to investigate … the low volatility anomaly.Between January 2003 and December 2021, the low volatility portfolio presented a 6% annual … return above the high volatility portfolio. This result is aligned with the observation made by Blitz and Van Vliet (2007) in …