We analyse the puzzling behavior of the volatility of individual stock returns around the turn of the Millennium. There has been much academic interest in this topic, but no convincing explanation has arisen. Our goal is to pull together the many competing explanations currently proposed in the...

We analyze the puzzling behavior of the volatility of individual stock returns over the past few decades. The literature has provided many different explanations to the trend in volatility and this paper tests the viability of the different explanations. Virtually all current theoretical...

We provide evidence that an option implied volatility-based measure predicts future absolute excess returns of the underlying stock around earnings announcements and annual meetings of shareholders, even after controlling for the realized stock return volatility shortly before these information...