S&P 500 Index option-based volatility indexes have untenable risk-return profiles. These volatility indexes are not … designed with consideration of important real-world risk characteristics of options and fail to represent volatility as a … cardinal characteristics of options on S&P 500 Index, central to designing viable volatility investment strategies, are …

We reexamine the evolution of the idiosyncratic volatility (IV) of US firms between 1962 and 2016. We theoretically …

This paper finds that price inefficiency in individual stocks contributes to expected idiosyncratic volatility. If …

For underlying asset motions calibrating skewness and kurtosis beyond the volatility it becomes possible to consider …. Markovian discrete time approximations are simulated to incorporate stochasticity in all three entities, volatility, skewness … stochasticity in volatility and skewness. Implications for a log normal volatility of volatility are presented along with the …

The idiosyncratic volatility effect of Ang et al. (2006) is robust to restricting the sample to NYSE firms (once proper … volatility effect is also unlikely to stem from the short-run reversal of Jegadeesh (1990), as the idiosyncratic volatility … effect stays significant for about six months. The idiosyncratic volatility effect also does not seem to weaken post-publication …

ambiguity leads to portfolio inertia and excess volatility. Specifically, when news is surprising, then investors may not react … volatility …

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 …