collateral constraints and the endogenous margin requirements for the first tree lead to large excess price-volatility of the … second tree. Changes in the regulated margin requirements for the second tree have large effects on the volatility of both … trees. While tightening margins for loans on the second tree always decreases the price volatility of the first tree, price …

substantially increases the return volatility of long-lived assets. Moreover, otherwise identical assets with different degrees of …

Recent empirical evidence has shown that the relationship between idiosyncratic volatility and a stock's expected … provide both theoretical and numerical evidence that this risk-return relationship might be driven purely by mathematical … correlation between idiosyncratic risk and mean returns depends on the ex-post estimation of abnormal returns …

correlated with market volatility, and becomes more pronounced during high uncertainty and recession periods. The predictability …

volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main … nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …]-type models) were used to model and estimate BIST-100 volatility in response to political news. The findings of the paper …

shares, the market price of risk, the risk free rate, the bond prices at di erent maturities, the stock price and volatility … heterogeneity. Investors may differ in their beliefs, in their level of risk aversion and in their time preference rate. We study …

risk-neutral measure, long-run price impact is in fact equivalent to survival, whereas longrun portfolio impact is …

construct managed portfolios of a risk-free asset and market index. …