volatility, the volatility feedback theory implies a channel that allows the conditional volatility to negatively affect the … expected return. We examine the effects of the risk return trade-off and the volatility feedback in a model where both the … return and its volatility are influenced by news arrivals. Our empirical analysis shows that the two effects have …

volatility, the volatility feedback theory implies a channel that allows the conditional volatility to negatively affect the … expected return. We examine the effects of the risk return trade-off and the volatility feedback in a model where both the … return and its volatility are influenced by news arrivals. Our empirical analysis shows that the two effects have …

between stock returns and idiosyncratic return volatility at the firm level. By allowing for the volatility of the underlying … idiosyncratic choice variables to exhibit independent switches between a high and low volatility regime, we show that the options …' constant expected returns are composed of (i) a state dependent drift term that relates positively with the volatility regime …

This paper estimates how the shape of the implied volatility smile and the size of the variance risk premium relate to … parameters of GARCH-type time-series models measuring how conditional volatility responds to return shocks. Markets in which … return shocks lead to large increases in conditional volatility tend to have larger variance risk premia than markets in …

This paper examines mean reversion processes in volatility structure of stock markets after extremely high or low stock … returns. The stock market volatility is reflected in three aspects, overall volatility, volatility momentum, and volatility …, respectively. The results of this study illustrate remarkable reversions in volatility momentum, concentration, and level between …

idiosyncratic volatility. We contend that at the firm level, the sample correlation between unexpected returns and expected … idiosyncratic volatility can cloud the true relation between the expected return and expected idiosyncratic volatility. We show … strong evidence that unexpected idiosyncratic volatility is positively related to unexpected returns. Using unexpected …

We study the dynamic impact of idiosyncratic volatility and bond liquidity on corporate bond spreads over time and … empirically disentangle both effects. Using an extensive data set, we find that both idiosyncratic volatility and liquidity are … critical mainly for the distress portfolios, i.e., low-rated and short-term bonds; for others only volatility matters. The …