volatility as measured by the VIX. We propose a new estimator for the shape of the nonlinear forecasting relationship that …, revealing flight to safety: expected returns increase for stocks when volatility increases from moderate to high levels, while … risk is a nonlinear function of market volatility …

tractable and qualitatively matches many of the empirical regularities in a stock price, its mean return, volatility, and … to a higher stock volatility and trading volume. We demonstrate that otherwise identical two-investor heterogeneous …