predict future returns, there is a significant relation between volatility spreads and expected stock returns. Portfolio level … the realized-implied volatility spread that can be viewed as a proxy for volatility risk. The results also provide … evidence for a significantly positive link between expected returns and the call-put options' implied volatility spread that …

focuses on volatility, where volatility is derived from a GARCH model. The results suggest that models which account for …

We propose a model of volatility tail behavior, in which the pricing measure dominates the physical measure in both … tails of the volatility distribution and, hence, the derived pricing kernel exhibits an increasing and decreasing region in … the volatility dimension. The model features investors who have heterogeneity in beliefs about volatility outcomes, and …

idiosyncratic volatility. We contend that at the firm level, the sample correlation between unexpected returns and expected … idiosyncratic volatility can cloud the true relation between the expected return and expected idiosyncratic volatility. We show … strong evidence that unexpected idiosyncratic volatility is positively related to unexpected returns. Using unexpected …

We examine the pricing of volatility risk in the cross-section of equity Real Estate Investment Trust (REIT) stock … returns over the 1996 – 2010 period. We consider both aggregate (systematic) volatility and firm-specific (idiosyncratic …) volatility. In contrast to the negative and significant price of systematic volatility risk for Non-REIT equities, we find that …

We examine the pricing of both aggregate jump and volatility risk in the cross-section of stock returns by constructing … investable option trading strategies that load on one factor but are orthogonal to the other. Both aggregate jump and volatility … risk help explain variation in expected returns. Consistent with theory, stocks with high sensitivities to jump and …

We find that the negative average-return differential between high- and low-volatility stocks -- the so …-called "volatility puzzle" -- is particularly more pronounced when both groups of stocks have large trading volume. Conversely, the … return differential is completely absent among low-turnover stocks. Such a high turnover-conditional volatility-future return …

options under low-dimensional stochastic volatility models. We derive multidimensional transforms which allow us to construct … efficient path-independent lattices for virtually all low-dimensional stochastic volatility models given in the literature … including one volatility factor-based stochastic volatility (SV) models, two volatility factors-based SV models, stochastic …

profitability, distress, lotteryness, and volatility anomalies, influencing their returns via the channel of idiosyncratic skewness …