Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Sibbertsen, … - 2017
This paper examines long memory volatility in the cross-section of stock returns. We show that long memory volatility … is widespread in the U.S. and that the degree of memory can be related to firm characteristics such as market … capitalization, book-to-market ratio, prior performance and price jumps. Long memory volatility is negatively priced in the cross …