component of demand that is caused by peer benchmarking. We find that these peer effects generate excess stock return volatility …

trading volume. This study examines the implication of high-frequency trading for stock price volatility and price discovery …. I find that high-frequency trading is positively correlated with stock price volatility after controlling for firm … fundamental volatility and other exogenous determinants of volatility. The positive correlation is stronger among the top 3 …

study trading quantitatives such as returns, traded volumes, volatility periodicity, and provide summary statistics of …

March 2020 packed 2 ½ years of normal U.S. stock market volatility into one month, making it the most volatile month on … respond to such volatility? In this article we explore four possible approaches, two long-term and two short-term in nature …. We give particular focus to Volatility Targeting and Momentum strategies, discussing the investor behavior that might …

component of demand that is caused by peer benchmarking. We find that these peer effects generate excess stock return volatility …

/B/E/S consensus recommendations issued for U.S.-listed equities during January 2015 with realized volatility of daily security returns … to be associated with future changes in volatility, suggesting that analyst ratings can help manage portfolio risk. This … relationship appears to be asymmetric and is most pronounced among the best-rated securities which experience largest volatility …

recommendations have on returns and also on volatility instead of the traditional literature that focuses only in the impact on prices … Norden (1997) and we have found two states of low and high volatilities. Thus, we can measure the volatility generated by the … high volatility increases when a Financial Analyst issues a new recommendation …