volatility around seasoned equity offerings (SEOs). These findings are consistent with the uncertain signal hypothesis that … higher stock return volatility. We also provide direct evidence that changes in liquidity is positively associated with stock … price adjustment. However, the relations among liquidity, volatility and price movements appear to rely on how SEOs are …

This paper investigates empirically whether uncertainty about volatility of the market portfolio can explain the … performance of hedge funds both in the cross-section and over time. We measure uncertainty about volatility of the market … portfolio via volatility of aggregate volatility (VOV) and construct an investable version of this measure by computing monthly …

the performance of hedge funds both in the cross-section and over time. We measure uncertainty via volatility of aggregate … volatility (VOV) and construct an investable version of this measure by computing monthly returns on lookback straddles written …