greatest impediment to market efficiency. We also find that the impact of idiosyncratic volatility on the Vo/P anomaly is more …

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 …

Variation in idiosyncratic return volatility from 1978 to 2009 is attributable to discretionary accrual volatility and … and industry effects, and highlight the importance of managerial discretion in determining idiosyncratic volatility …

with higher pre-crisis earnings volatility, causing investors to demand a higher ambiguity premium for such firms. While … there is no relation between earnings volatility and stock returns under normal conditions, there is a significant negative … relation between crisis-period stock returns and prior earnings volatility. In other words, during economic turmoil, investors …

This study seeks to determine whether earnings announcements pose non-diversifiable volatility risk that commands a … volatility and pay a premium to hedge this non-diversifiable risk. In particular, we find evidence of risk premiums embedded in … announcements pose non-diversifiable volatility risk. In addition, we find that volatility risk premiums are concentrated among …