This paper studies the question of the economic scale of financial institutions. We show that banks actively smooth book equity by adjusting payouts to achieve a desired trajectory of book equity. The countercyclical nature of net payouts of financial institutions leads to procyclical book...

We show that realized volatility, especially the realized volatility of financial sector stock returns, has strong predictive content for the future distribution of market returns. This is a robust feature of the last century of U.S. data and, most importantly, can be exploited in real time....

"Investors' option-implied fear measures - implied volatility (ATMIV) and put-call implied volatility ratios (P/C) - lead key macroeconomic variables such as industrial capacity utilization and short term interest rates by up to eight quarters. We show that this interaction between fear indices,...