of ROE depends on historical volatility of ROE from data of Japanese equity. It indicates that (low) volatility of …

. We observe that tax avoidance primarily affects stock return volatility through changes in investors' cash flow …

Market Hypothesis sense. The paper tries to show that this so-called excess volatility is to a large extend the result of the …, constant dividend growth rates as well as non-variable discount rates. It is shown that indeed volatility declines considerably … cashflow ; excess volatility ; variance bound test ; rational expectations …

.28% with a half-life of 0.92 days. Price pressure causes average transitory volatility in daily stock returns of 0.49%. Price … Risk ; Intermediary ; Volatility …

. Announcements of both institutes are also clearly and immediately reflected in the volatility, which remains at a significantly … higher level for approximately two minutes slightly elevated for approximately 15 minutes. Combining returns and volatility … in a GARCH(1,1)-model, the paper reveals that significant increases in volatility only show up in the presence of …

decomposing realized volatility in its continuous and discontinuous jump component. First, we analyze the relation between … volatility and trading activity. Coherent with existing studies we find that the driving factor of the relation between … Data ; Realized Volatility ; Price Jump ; Trading Activity ; Urgent Market Message …

structural stochastic volatility, which derives from different noise levels in the demand of fundamentalists and chartists and …