Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH …) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative … shocks to volatility. However, the statistical properties of the (quasi-) maximum likelihood estimator (QMLE) of the EGARCH …

relevance of the stock return volatility to the company's fundamental variables, with a sample of the stocks listed in the … volatility of the return-on-equity. We guess that cash dividends may be an important link between the real economy and the …

exert a large and persistent effect on the volatility of stock returns of acquirers and that this response is crucially … - engender a positive response in acquirers' volatility. Our results suggest that acquisitions affect uncertainty because they …

-trading volatility are predicted to have more crash risk, supporting the view of “arbitrage risk mechanism”. Furthermore, we find that … higher margin-trading volatility results in higher overpricing and less information content …

We investigate the informational content of credit default swap (CDS) spreads for future volatility of (firm) assets … and equity. In the cross-section, CDS spreads are significantly more informative about future asset than equity volatility … fundamental difference in the cross-sectional predictability of asset and equity volatility. This difference lies in the leverage …

with higher ESG scores are better investment picks. This paper attempts to assess the volatility and returns of Indian … companies and to measure the impact of ESG scores on returns and volatility with the help of panel regression …