Momentum stocks are exposed to aggregate volatility risk. This paper estimates an EGARCH model of market volatility to … introduce a new volatility risk factor that prices itself, and thereby becomes a candidate risk factor for analyzing stock … market anomalies such as momentum. Winners have negative loadings on this new volatility factor, whereas losers have positive …

This work evaluates the behavior of portfolios comprised of Brazilian stocks ranked by their volatility to investigate … the low volatility anomaly.Between January 2003 and December 2021, the low volatility portfolio presented a 6% annual … return above the high volatility portfolio. This result is aligned with the observation made by Blitz and Van Vliet (2007) in …

factors capture mispricing by being long on overpriced stocks and short on underpriced stocks. Option-implied volatility …

returns and a negative relationship with volatility and trading volume. Conclusions Our study contributes to understanding the …

volatility. Our methodology shows the efficacy of stabilization policies, initiated notably by the Federal Reserve, in dampening …

-Estimator whose inputs (period used for local volatility calculation and confidence level used for jump detection) were also optimized …