(ii) historical earnings volatility is considerably higher in China than in the U.S. Higher earnings volatility in China …We find that China's P/E ratio is comparable to that of the U.S. S&P 1500 index, a broad based index covering large …, middle, and small capitalization firms. We provide an explanation as to why China's seemingly low P/E ratio is not surprising …

trading around quarterly earnings announcements is either directionally motivated and/or volatility motivated. We found … volatility-motivated option trading, and our results suggest that this type of option trading could be motivated by hedging …

predictive variance. We show theoretically how this adjustment factor affects both average and volatility of excess returns. We … related to excess volatility as predicted by the model. Further confirming the model's implications, we also show how stock …