model specifications, volatility effects and other robustness considerations continue to support our results. These results …

This paper examines the hypothesis that both stock returns and volatility are asymmetric functions of past information …

We find that lower ex-ante earnings volatility leads to higher Post-Earnings Announcement Drift (PEAD). PEAD is a … between abnormal returns and trading frictions. Besides documenting that firms with lower earnings volatility have higher … abnormal returns, we also find that lower earnings volatility firms have lower trading frictions. Taken together, these …

The news impact curve of EGARCH captures the asymmetric impact of negative news on volatility. It also captures the …

increases in realized volatility and arrive when differences-in-opinion among market participants are large at times of FOMC … press releases. Unlike intensity jumps, volatility jumps fail to explain the variation in news-induced realized volatility …

In this paper, we examine the relationship between idiosyncratic volatility and future returns around the firm … volatility is more strongly negative compared to news idiosyncratic volatility. Such findings imply that limited arbitrage cannot … fully explain the negative pricing of idiosyncratic volatility in the Chinese stock market. These results are robust after …