volatility feedback effect theory assumes that return shocks can be caused by changes in conditional volatility through a time … effect for the first three days at the daily frequency. The volatility feedback effect appears to be negligible at all … horizons. By contrast, when implied volatility is considered, a volatility feedback becomes apparent, whereas the leverage …

multi-factor asset pricing model. In particular, we finnd strong evidence on the existence of a volatility feedback e …

allows for volatility feedback of either sign, i.e., positive or negative. In the previous literature, negative volatility …

This paper examines "leverage" and volatility feedback effects at the firm level by considering both market effects and … and volatility via industry effects, and heterogeneity across firms. Our results suggest that volatility feedback effects … at the firm level are present due to both market effects and firm effects, though the market volatility feedback effect …

distributions of stock prices lends support to the volatility feedback effect. Secondly, ‘feedback’, or momentum-type investors, are …