According to the volatility feedback effect, an unexpected increase in squared volatility leads to an immediate decline … under the volatility feedback effect by modeling the joint dynamics of stock price, dividends, and volatility in continuous … results support the relevance of the volatility feedback effect. Overall, the results indicate that the prevailing practice of …

housing asset returns. Specifically, it extends the volatility feedback model to study the relationship between housing … significantly negative volatility feedback effect in the housing market suggests a positive relationship between housing volatility …, volatility feedback anticipates the recent bubble-like housing market dynamics because high volatility during 2002–2003 implies …

volatility, the volatility feedback theory implies a channel that allows the conditional volatility to negatively affect the … expected return. We examine the effects of the risk return trade-off and the volatility feedback in a model where both the …

This paper examines “leverage” and volatility feedback effects at the firm level by considering both market and firm … 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 and firm effects, though the market volatility feedback effect is stronger than the …

considered in Bekaert and Wu (2000), are the financial leverage and the volatility feedback hypothesis. We explicitly test for … volatility feedback. …