of companies on their implied and historical share volatility. Our regressions show a clear relationship between the … stock volatility. However, our combined rating has the strongest impact. …

In this paper, we examine the relationship between idiosyncratic volatility and future returns around the firm … volatility is more strongly negative compared to news idiosyncratic volatility. Such findings imply that limited arbitrage cannot … fully explain the negative pricing of idiosyncratic volatility in the Chinese stock market. These results are robust after …

the influence of R&D volatility and R&D intensity on the market capitalization of pharmaceutical and medical research … sample of 217 companies for 2014-2019 indicate that R&D volatility adversely affects market value. The analysis is conducted … on the entire sample and on sub-samples determined based on the positive and negative values of the R&D volatility. This …

optimization. The diffusion model combines (stochastic) elasticity of volatility (EV) and stochastic volatility (SV) to create the … reverts to a GBM model, the volatility and speed of reversion of the EV have a strong impact on optimal allocations, and more …

We provide a comprehensive assessment of volatility connectedness between the currencies of Central European (CE … currencies before) and document domination of the negative volatility, especially during periods of economic distress. We further … robust with respect to a volatility measure and provide direct policy implications for portfolio composition and hedging. …