Many seemingly discordant results are reconciled if firm-specific return volatility is characterized as the intensity …, who can be last year's winners. This elevation in firm-specific fundamentals volatility elevates firm-specific return … volatility in a sufficiently informationally efficient stock market. These linkages are interconnected feedback loops, rather …

A literature review demonstrates credible evidence linking higher firm-specific stock return volatility to a more … efficient stock market on one hand; and to higher firm-specific fundamentals volatility on the other. These results are …

) The Volatility Puzzle. We offer resolutions of those objections within the rational finance. We do not claim that those …

-diffusions, and models of stochastic volatility. This paper explores the statistical properties of these models with a view to …

This paper establishes dividend volatility as a fundamental risk metric that prices assets. We theoretically … incorporate dividend volatility clustering into a model in which narrow-framing investors are loss averse over fluctuations in the … value of their investments. Our model shows that dividend volatility positively predicts future asset returns, with the …

-diffusions, and models of stochastic volatility. This paper explores the statistical properties of these models with a view to …

Many seemingly discordant results are reconciled if firm-specific return volatility is characterized as the intensity …, who can be last year's winners. This elevation in firm-specific fundamentals volatility elevates firm-specific return … volatility in a sufficiently informationally efficient stock market. These linkages are interconnected feedback loops, rather …

Recent empirical evidence has shown that the relationship between idiosyncratic volatility and a stock's expected …