Asymmetric volatility in equity markets has been widely documented in finance, where two competing explanations, as … considered in Bekaert and Wu (2000), are the financial leverage and the volatility feedback hypothesis. We explicitly test for … September 2008. To this aim, we examine asymmetric volatility based on a novel model of market returns, implied market …

We examine long memory volatility in the cross-section of stock returns. We show that long memory volatility is … capitalization, book-to-market ratio, prior performance, and price jumps. Long memory volatility is negatively priced in the cross …-section. Buying stocks with shorter memory and selling stocks with longer memory in volatility generates significant excess returns of …

This study examines the ability of investor sentiment to predict conditional volatility and excess returns at both … been confirmed that bullish (bearish) sentiment increases (decreases) volatility which in-turn affect the mean variance … relationship. However, the commonality of the effect of investor sentiment via conditional volatility has not been uniform across …