The prevailing view of implied volatility comovements, IVC, defined as the correlation between a firm's implied … volatility and the market's implied volatility, is that they indicate the presence of systematic volatility risk to the firm …'s investors. We take a different stance and conjecture that implied volatility comovements can also indicate expected information …

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

This paper documents that systematic volatility risk is an important factor that drives the value premium observed in … volatility risk, I document significant differences between volatility factor loadings of value and growth stocks. Furthermore …, when markets are classified into expected booms and recessions, volatility factor loadings are also time-varying. When …

Stock market volatility clusters in time, appears fractionally integrated, carries a risk premium, and exhibits … asymmetric leverage effects relative to returns. At the same time, the volatility risk premium, defined by the difference between … the risk-neutral and objective expectations of the volatility, is distinctly less persistent and appears short …

Stock market volatility clusters in time, appears fractionally integrated, carries a risk premium, and exhibits … asymmetric leverage effects relative to returns. At the same time, the volatility risk premium, defined by the difference between … the risk-neutral and objective expectations of the volatility, is distinctly less persistent and appears short …