Momentum stocks are exposed to aggregate volatility risk. This paper estimates an EGARCH model of market volatility to … introduce a new volatility risk factor that prices itself, and thereby becomes a candidate risk factor for analyzing stock … market anomalies such as momentum. Winners have negative loadings on this new volatility factor, whereas losers have positive …

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

, including market-based estimation of stochastic volatility models, the fine structure of equity-index option dynamics, leverage … and feedback effects in multifactor Wishart stochastic volatility for option pricing, option pricing with non …-Gaussian scaling and infinite-state switching volatility, stock return and cash flow predictability: the role of volatility risk, the …

volatility and the transitory component of market volatility. Bullish sentiment leads to higher market excess return while … premia of the permanent and transitory components of sentiment-affected volatility in the framework of ICAPM. …

This paper investigates the role of volatility risk on stock return predictability specified on two global financial … volatility forecasting measures on future stock returns in four different periods (bear and bull markets). First we find clear … and robust empirical evidence that the implied idiosyncratic volatility is the best stock return predictor for every sub …

consistent with an asset pricing model allowing for both time-varying jump intensity and stochastic volatility of volatility to …