. Announcements of both institutes are also clearly and immediately reflected in the volatility, which remains at a significantly … higher level for approximately two minutes slightly elevated for approximately 15 minutes. Combining returns and volatility … in a GARCH(1,1)-model, the paper reveals that significant increases in volatility only show up in the presence of …

Prior research documents that volatility spreads predict stock returns. If the trading activity of informed investors … is an important driver of volatility spreads, then the predictability of stock returns should be more pronounced during … major information events. This paper investigates whether the predictability of equity returns by volatility spreads is …

, volatility, turnover and number of transactions. The study shows that news announcements have an effect on the return of stocks …. However, no relation can be found between news and volatility, nor between news and number of transactions. On the other hand …

This paper analyzes the relationship between assets return, volatility and the centrality indicators of a corporate … independence among several measures of centrality, return and volatility. We found that the average eigenvector centrality of the … corporate news networks at different points of time has an impact on return and volatility of the STOXX 50 index. Likewise …

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 …

We document a significant positive relation between earnings announcement idiosyncratic volatility and stock returns in … with the highest earnings announcement idiosyncratic volatility and stocks with the lowest earnings announcement … idiosyncratic volatility exceeds 100 basis points in the 10 days leading up to the earnings announcements. The pricing of earnings …

This paper uses the volatility surface data from options contracts to document a strong, robust, and positive cross … trading signals captured by option implied volatility and volume …