the low volatility anomaly.Between January 2003 and December 2021, the low volatility portfolio presented a 6% annual …This work evaluates the behavior of portfolios comprised of Brazilian stocks ranked by their volatility to investigate … return above the high volatility portfolio. This result is aligned with the observation made by Blitz and Van Vliet (2007) in …

realistic dynamics of riskneutral and realized volatilities. I provide evidence that the jump risk in volatility of long run … of the VIX or realized stock volatility. In contrast, a jump-in-volatility LRR model generates a smaller variance risk … premium but better fits the VIX and the realized stock volatility dynamics. Finally, jump-in-volatility models generate …

volatility. This empirical phenomenon is shown to arise within a tractable accounting-based valuation model that allows for risk … aversion and stochastic earnings volatility. The model predicts that expected stock (stock return volatility) returns are … to explain price dynamics across stock and volatility markets …