successfully replicates (1) the volatility of stock prices and (2) the positive correlation between the price dividend ratio and …

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

effects of highs and lows on a stock's beta and return volatility. We find that implied volatilities and stock betas decrease …

volume. This paper explores the effect of sentiment on the stock market's trading volume. Increase in Volatility Index (VIX … more chances for investors to time their trade as the volatility of liquidity increases. These two kinds of impact lower …

market volatility beyond the volatility of macroeconomic fundamentals: (1) an increase in SVI is associated with higher … volatility in both time series and cross section; (2) causal effects run mainly from SVI to volatility. In addition, SVI is …

comovements and the other volatility-induced return comovements. Following Baker and Wurglur (2006), we construct an investor … market volatility. We find that a correlated trading behaviour along with investor sentiment significantly determines excess … stock returns. Also stocks with high volatility exhibit higher return comovement properties compared to low volatilie stocks …

We establish a direct link between the idiosyncratic volatility (IVol) puzzle and the behavior of sophisticated and …

"momentum crashes." We find that the high uncertainty of momentum strategies is sourced from the cross-sectional volatility of … individual stocks. Stocks with high realised volatility over the formation period tend to lose momentum effect, while stocks with … low realised volatility show strong momentum. A new approach, generalised risk-adjusted momentum (GRJMOM), is introduced …