which depending on the market states signaled by the level of volatility spread. We have documented that effectively, there … capital. We then propose the volatility spread as the active management factor into the Carhart's model used to evaluate …

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 …

in many countries. Consequently, bank size and its role for macroeconomic volatility (or: stability) is the subject of … volume of the loan portfolio, and volatility. Using bank-level data for 1999 to 2014, we estimate a power law that relates … bank size to the volatility of loan growth. The effect of regulation on the power law coefficient indicates whether …