We evaluate the ability of different asset pricing models to explain the flows into VIX ETPs with long volatility …

volatility states. While momentum strategies are unconditionally unprofitable in US, Japan, and Eurozone countries in the last …

expected stock return and both the maximum daily return (MAX) and the idiosyncratic volatility (IVOL) in the five largest …

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 …

We propose a new, price-based measure of information risk called abnormal idiosyncratic volatility (AIV) that captures … information asymmetry faced by uninformed investors. AIV is the idiosyncratic volatility prior to information events in excess of …