We examine aggregate idiosyncratic volatility in 23 developed equity markets, measured using various methodologies, and we find no evidence of upward trends when we extend the sample until 2008. Instead, idiosyncratic volatility appears to be well described by a stationary autoregressive process...

A series of high entropy perovskite oxides (Ce,K) x [(Bi,Na)BaSrCa] 1-x TiO 3 ( x -CKBNBSCTO) were synthesized by using a traditional solid state reaction method and the dependence of the properties of samples on the content x was also explored. Microstructure analyses found that the most...

A series of high entropy perovskite oxides (Ce,K)x[(Bi,Na)BaSrCa]1-xTiO3(x-CKBNBSCTO) were synthesized by using a traditional solid state reaction method and the dependence of the properties of samples on the content x was also explored. Microstructure analyses found that the most homogeneous...

A series of high entropy perovskite oxides (Ce,K) x [(Bi,Na)BaSrCa] 1-x TiO 3 ( x -CKBNBSCTO) were synthesized by using a traditional solid state reaction method and the dependence of the properties of samples on the content x was also explored. Microstructure analyses found that the most...

We examine the pricing of aggregate volatility risk in the cross-section of stock returns. Consistent with theory, we find that stocks with high sensitivities to innovations in aggregate volatility have low average returns. In addition, we find that stocks with high idiosyncratic volatility...

This paper examines the specification errors of several asset pricing models using the methodology of Hansen and Jagannathan (1997) and a common data set. The models are the CAPM, the Consumption CAPM, the Jagannathan and Wang (1996) conditional CAPM, the Campbell (1996) dynamic asset pricing...

We examine international stock return comovements using country-industry and country-style portfolios. We first establish that parsimonious risk-based factor models capture the covariance structure of the data better than the popular Heston-Rouwenhorst (1994) model. We then establish the...

We develop a specification test and a sequence of model selection procedures for non-nested, overlapping, and nested models based on the second Hansen-Jagannathan distance, which requires a good asset pricing model to not only have small pricing errors but also be arbitrage free. Our methods...

We examine international stock return comovements using country-industry and country-style portfolios. We first establish that parsimonious risk-based factor models capture the covariance structure of the data better than the popular Heston-Rouwenhorst (1994) model. We then establish the...