VaR forecasts of a set of conditional volatility models. This risk management strategy is GFC-robust in the sense that …

market declines, when market volatility is high, and contemporaneous with market \rebounds." The low ex-ante expected returns …

comovements and the other volatility-induced return comovements. Following Baker and Wurglur (2006), we construct an investor … market volatility. We find that a correlated trading behaviour along with investor sentiment significantly determines excess … stock returns. Also stocks with high volatility exhibit higher return comovement properties compared to low volatilie stocks …

Investors are displaying a fast-rising appetite for low volatility strategies, given growing academic and empirical …

In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as … “anomalies” the theory of rational finance cannot explain: (i) Predictability of asset returns; (ii) The Equity Premium; (iii …) The Volatility Puzzle. We offer resolutions of those objections within the rational finance. We do not claim that those …

We consider two forms of volatility weighting (own volatility and underlying asset volatility) applied to cross … effect and the stabilizing effect of volatility weighting are relevant for the improvement in Sharpe ratios. We also … introduce a dispersion weighting scheme which treats cross-sectional dispersion as (partially) forecastable volatility. Although …