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

The objective of this article is to investigate the volatility asymmetry, volatility-volume relationship by considering …-GARCH models to examine the volatility pattern in the stock market. Second, both contemporaneous and lagged trading volumes are … augmented in the volatility model to empirically verify the validity of Mixture of Distribution Hypothesis (MDH) and Sequential …

country betas are time-varying and that currently, global factors are the dominant source of equity market volatility …

In this note we document interactive relations between the excess volatility and the momentum effect in the cross … profitable strategy is to buy the loser portfolio with the greatest excess volatility and sell the loser or winner portfolio with … the least excess volatility for all the three periods. But there are profitable strategies of buying a winner portfolio …

We conduct a volatility decomposition to identify the source of performance differences between low volatility and high … volatility mutual funds. A higher level of return covariance of fund holdings is associated with more fund-level exposure to the … idiosyncratic volatility effect. Average security-level variance of fund holdings is only weakly associated with idiosyncratic …

The effect of investor sentiment on stock volatility is a highly attractive research question in both the academic … indicators. In addition, we divide the realized volatility into continuous and jump parts, and then investigate the effects of … trading (VPIN), on the path of investor sentiment affecting stock volatility. It is evidenced that investor sentiments are …

Accurately forecasting volatility is key in many financial applications. In this study, I suggest that individuals … hits lead changes in market volatility. I show that a regressor based on search engine data can provide a meaningful …

/B/E/S consensus recommendations issued for U.S.-listed equities during January 2015 with realized volatility of daily security returns … to be associated with future changes in volatility, suggesting that analyst ratings can help manage portfolio risk. This … relationship appears to be asymmetric and is most pronounced among the best-rated securities which experience largest volatility …