We contrast two different asset pricing models, where the pricing kernel either (i) increases in the volatility … dimension, reflecting investors' aversion to volatility, or (ii) could be non-monotonic in volatility, reflecting heterogeneity … in investors' beliefs. The two models yield opposite predictions about volatility tail behavior, whereby the model with …

previous work to simultaneously include both leakage and volatility. Motivated by discussions on how to reform carbon markets …

-specific return volatility. It's found that the absolute level of firm-specific volatility is rising, while the weight of firm …-specific volatility is decreasing, which implies declining information efficiency of the market. Furthermore, firm's product market power … could reduce firm-specific volatility significantly. It means the more and more increased competition in product market …

deviation increase in oil price volatility leads to a 0.38 percent increase in the markup of firms with average oil exposure. …

measures of productivity, however, will associate differences in demand volatility to differences in productivity when … adjusting factors of production is costly. I document this effect by comparing the influence of demand volatility on capacity … utilization in a high (hotels) and low (airlines) adjustment cost industry. Differences in annual demand volatility explain a …

We study the differential impact of exchange rate volatility on cost efficiency and market structure when banks have … revaluations but rather employs banks' exposures to foreign currencies and aggregate exchange rate volatility. With this approach …