. Proposed extensions include a volatility regime switching mechanism (using dummy variables and the Markov approach) and the … fifth risk factor based on realized volatility of index returns. Moreover, instead of using data for stocks of a particular …

predicting monthly US excess stock returns and volatility over the period 1980-2005. Factor-augmented predictive regression … superior market timing ability and volatility timing ability, while a mean-variance investor would be willing to pay an annual …

idiosyncratic risk and finds a strong positive relation between expected idiosyncratic volatility and returns, suggesting missing … systematic risk factors or inefficient markets. We document that this positive relation between idiosyncratic volatility and … returns only exists for small firms which are difficult to arbitrage. The relation between idiosyncratic volatility and …

market volatility as measured by the VIX. Implying that investor purchase decisions are primarily driven by returns and sale …

predicting monthly US excess stock returns and volatility over the period 1980-2005. Factor-augmented predictive regression … superior market timing ability and volatility timing ability, while a mean-variance investor would be willing to pay an annual …

trading volume. This study examines the implication of high-frequency trading for stock price volatility and price discovery …. I find that high-frequency trading is positively correlated with stock price volatility after controlling for firm … fundamental volatility and other exogenous determinants of volatility. The positive correlation is stronger among the top 3 …

Assuming a symmetric relation between returns and innovations in implied market volatility, Ang, Hodrick, Xing, and … Zhang (2006) find that sensitivities to changes in implied market volatility have a cross-sectional effect on firm returns … volatility innovations. We incorporate this asymmetry into the cross-sectional relation between sensitivity to volatility …

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 …