based on averages of past futures returns, normalized by their volatility. We test these strategies on a universe of 64 … asset class, realized futures volatility is contemporaneously negatively related to the Fama and French (1987) market (MKT … in trading costs. We construct measures of momentum-specific volatility, both within and across asset classes, and show …

. News volume and volatility amplify this attention gap. Attention appears causally related to perceived proximity: first … fewer flights after the outbreak. Finally, local attention predicts volatility, bid-ask spreads and nonlocal attention, not …

occur in what we term “panic” states – following market declines and when market volatility is high, and are contemporaneous … momentum strategy. Further, we show that momentum returns in panic states are correlated with, but not explained by, volatility …

more often tend to appreciate rather than depreciate, as noted by Fama (1983). In this paper, we treat volatility as the … critical state variable and show that positive returns to the carry trade are overwhelmingly generated in the low-volatility … "normal" state, whereas the high-volatility state is associated with lower returns or with losses as currencies revert to the …