We suggest a procedure to predict individual stock liquidity and study the relation between stock liquidity forecasts … and average stock returns. Our forecast model reduces the root-mean-squared error by 12% for the Amihud (2002) liquidity … measure compared to realized stock liquidity in the previous month. Our liquidity forecasts capture economically large changes …

Accurately forecasting volatility is key in many financial applications. In this study, I suggest that individuals … hits lead changes in market volatility. I show that a regressor based on search engine data can provide a meaningful …

This paper examines the relationship between volatility and the probability of occurrence of expected extreme returns … in the Canadian market. Four measures of volatility are examined: implied volatility from firm option prices, conditional … volatility calculated using an EGARCH model, idiosyncratic, and expected shortfall. A significantly positive relationship is …

forecasting power for firms' risk-factor exposures, implied costs of capital, liquidity, and future investments. We also apply our …

evidence from the market for leveraged volatility (VIX) products. I find that the daily rebalancing imposes a substantial …

-professional investment community, that a “low” reading in the CBOE Volatility Index (VIX) or large decline alone are ample reasons to believe … that volatility will spike in the near future. While the Volatility Index can be a useful tool for investors and traders …, it is often misinterpreted and poorly used. This paper will demonstrate that the dispersion of the Volatility Index acts …

liquidity position. Finally, it investigates whether the idiosyncratic risk is priced in BRICS countries’ equity markets. The …