REIT returns and volatility over the sample period from December 2001 to February 2013. We find that the liquidity crisis … negatively impacts REIT returns and helps explain increases in volatility; this finding is robust to multiple specifications. We …

error. To better understand these occurrences, this paper considers the volatility cycle of Value stocks globally …. Corresponding to tracking error and total risk, the volatility of both active and absolute returns is considered. It was found that … high volatility in the active returns of Value stocks was closely linked with the active performance cycle of these stocks …

market volatility as measured by the VIX. Implying that investor purchase decisions are primarily driven by returns and sale …

trading volume. This study examines the implication of high-frequency trading for stock price volatility and price discovery …. I find that high-frequency trading is positively correlated with stock price volatility after controlling for firm … fundamental volatility and other exogenous determinants of volatility. The positive correlation is stronger among the top 3 …

tested whether the possible existence of such a "between-markets" premium is captured by the CAPM model, or whether … focuses on volatility, where volatility is derived from a GARCH model. The results suggest that models which account for …

evolve, many investors continue to forecast volatility using traditional approaches that are ill-suited to the time …-changing nature of volatility. In this paper, I analyze the performance of seven different multivariate-volatility models using a new … poorly when trying to forecast short-term volatility, and that a more dynamic model often provides superior out …

This study highlights the link between stock return volatility, operating performance, and stock returns. Prior studies … suggest that there is a ‘low volatility' anomaly, where firms with a low stock return volatility out-perform firms with a high … stock return volatility. This paper confirms that low volatility stocks earn higher returns than high volatility stocks in …