Consensus professional forecasts of stock returns are three times more volatile than those of non-professionals and econometricians. This "excess" volatility in professional forecasts is not due to noise. Rather, professional forecasts respond immediately, strongly, and countercyclically to...

We estimate the response of corporate bond credit spreads to three exogenous shocks: oil supply, investment-specific technology, and government spending. Credit spreads respond significantly to these macroeconomic shocks; the response is similar in magnitude, opposite in sign, and with a slight...

Multi-period-ahead forecasts of returns' variance are used in most areas of applied finance where long horizon measures of risk are necessary. Yet, the major focus in the variance forecasting literature has been on one-period-ahead forecasts. In this paper, we compare several approaches of...