findings have implications for market-wide volatility - the model-implied correlations alone can explain 44% of the cross …-section of aggregate volatility. The results are robust to controlling for a number of alternative factors put forth by the …

The low-volatility anomaly is often attributed to limits to arbitrage, such as leverage, short-selling and benchmark … that is able to benefit from the anomaly. This paper finds that the return difference between low- and high-volatility ….e. hedge funds tend to bet not on, but against the low-volatility anomaly. This finding suggests that limits to arbitrage are …

This paper examines stock returns by incorporating idiosyncratic volatility with the information contained inside the … provide empirical evidence to show that the joint effect of idiosyncratic volatility (IVOL) and investor sentiment (SENTA …. The impact of the interaction highlights the positive idiosyncratic volatility-return relation detected in our sample and …

market. The empirical results show that stock returns can help us predict both realized volatility as well as return … and realized volatility) …