. 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 …

predict future returns, there is a significant relation between volatility spreads and expected stock returns. Portfolio level … the realized-implied volatility spread that can be viewed as a proxy for volatility risk. The results also provide … evidence for a significantly positive link between expected returns and the call-put options' implied volatility spread that …

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

expected stock return and both the maximum daily return (MAX) and the idiosyncratic volatility (IVOL) in the five largest …

This paper finds that price inefficiency in individual stocks contributes to expected idiosyncratic volatility. If …

of long-term stock market volatility. When long-term volatility is high, stock returns are more sensitive to news, and …-linear present value framework with a two-component volatility model for the conditional variance of cash flow news and allowing for … volatility feedback. In our model, innovations to the long-term volatility component are the most important driver of discount …

This paper aims to examine the relation between idiosyncratic volatility (IVOL) and stock returns with full-sample and …