, volatility and stock returns. To do this, we use a large sample of individual accounts over a six-year period in the 1990's in …

explains the negative relation between idiosyncratic volatility (IVOL) and average return. The IVOL effect is negative among …

generates stock volatility that is higher than long-horizon dividend volatility, even with constant market prices of risk …

We show that volatility movements have first-order implications for consumption dynamics and asset prices. Volatility … news affects the stochastic discount factor and carries a separate risk premium. In the data, volatility risks are … aggregate wealth and the cross-sectional differences in risk premia. Estimation of our volatility risks based model yields an …

that, after monetary policy announcements, the conditional volatility rises more for firms with stickier prices than for …

paper examines how well time-changed Lévy specifications capture stochastic volatility, the "leverage" effect, and the …

We examine the pricing of aggregate volatility risk in the cross-section of stock returns. Consistent with theory, we … find that stocks with high sensitivities to innovations in aggregate volatility have low average returns. In addition, we … find that stocks with high idiosyncratic volatility relative to the Fama and French (1993) model have abysmally low average …

We exploit direct model-free measures of daily equity return volatility and correlation obtained from high …, solidify and extend existing characterizations of stock return volatility and correlation. We find that the unconditional … portfolio diversification when the market is most volatile. Our findings are broadly consistent with a latent volatility fact or …

This paper uses a disaggregated approach to study the volatility of common stocks at the market, industry, and firm … levels. Over the period 1962-97 there has been a noticeable increase in firm-level volatility relative to market volatility …, while the number of stocks needed to achieve a given level of diversification has increased. All the volatility measures …