commensurate with their risk aversion; more risk-averse individuals pick lower-volatility stocks. The investors' portfolio …The preferred risk habitat hypothesis, introduced here, is that individual investors select stocks with volatilities … consistent with the predictions of the hypothesis: the portfolios contain highly similar stocks in terms of volatility, when …

both create and share the risk associated with exchange rate volatility. In such circumstances, monetary policy can be used … of noise traders alters the composition of the market and generates excess exchange rate volatility, since noise traders … to lower exchange rate volatility without altering macroeconomic fundamentals. …

contained in the volatility risk premium and option-implied skewness increases substantially Sharpe ratios and certainty … weights, one needs to estimate for each stock its volatility, correlations with all other stocks, and expected return. Our …

returns is not explained by traditional risk factors, it is partially explained by transaction costs and shows behavior …

This Paper investigates the link between a firm’s competitive environment and the idiosyncratic volatility of its stock … volatility. We posit that competition affects volatility in two distinct and inter-related ways. Market power works as a hedging … information uncertainty for investors and therefore lower return volatility. We find strong support for both effects. Our results …

We examine aggregate idiosyncratic volatility in 23 developed equity markets, measured using various methodologies, and … we find no evidence of upward trends when we extend the sample till 2008. Instead, idiosyncratic volatility appears to be … relatively short duration. We also document that idiosyncratic volatility is highly correlated across countries. Finally, we …

We test the hypothesis that individual investors contribute to the idiosyncratic volatility of stock returns because …, theory implies that the volatility of stocks affected by the reform should decrease relative to other stocks. This prediction … are also consistent with models in which individual investors, acting as noise traders, are a source of volatility. …

introducing costs of adjusting the stock of capital, corporate debt and risk-sharing labour contracts. We find the latter to be …

has proved difficult in practice, because the presence of a timevarying risk premium often renders the futures price a … be recovered by adjusting the futures price by the estimated risk premium, a common problem in applied work is that there … are as many measures of market expectations as there are estimates of the risk premium. We propose a general solution to …

simple theory of asset pricing in which demand shocks play a central role. These shocks give rise to valuation risk that …