"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 …

) The Volatility Puzzle. We offer resolutions of those objections within the rational finance. We do not claim that those …

tractable and qualitatively matches many of the empirical regularities in a stock price, its mean return, volatility, and … to a higher stock volatility and trading volume. We demonstrate that otherwise identical two-investor heterogeneous …

We study the effects of the investment horizon on asset price volatility using a Learning to Forecast experiment. We … investment horizons such bubbles do not emerge and price volatility tends to be lower. This is due to the fact that, for longer … relatively stable before participants start their prediction task, price volatility remains small, with prices close to their …

tractable and qualitatively matches many of the empirical regularities in a stock price, its mean return, volatility, and … to a higher stock volatility and trading volume. We demonstrate that otherwise identical two-investor heterogeneous …

idiosyncratic volatility is from its function as a limit arbitrage. Our evidence incorporating firm specific news is inconsistent … news volatility (volatility contemporaneous to news announcements) should be stronger than that of non-news volatility … (volatility without an identified news announcement). We find the opposite. Non-news volatility has robust negative price and …

volatility of the price--dividend ratio, the predictability of cash flows and returns, and the large predictability of returns in …

Many investors we speak to are interested in making a strategic allocation to low volatility equities to help them … better meet their investment objectives. The appeal of this strategy is clear. Low volatility stocks have historically … valuation of low volatility stocks may be expensive compared to the rest of the market so they should wait for more attractive …

We propose a model of volatility tail behavior, in which investors display aversion to both low volatility and high … volatility states, and, hence, the derived pricing kernel exhibits an increasing and decreasing region in the volatility … dimension. The model features investors who have heterogeneity in beliefs about volatility outcomes, and maximize their utility …