This paper investigates the role of volatility risk on stock return predictability. Using 596 stock options traded at …

that more basic models such as GPT-1, GPT-2, and BERT cannot accurately forecast returns, indicating return predictability …. Predictability is concentrated on smaller stocks and more prominent on firms with bad news, consistent with limits …

, I review the existing literature and reflect on asset pricing tests to detect bubbles. I show that the emergence of … rational bubbles within the EMH framework is indeed possible as long as a number of assumptions is not violated. As researchers … show, these assumption do not hold in practice, which means that rational bubbles can be ruled out. Thus, a bubbles is …

latter can be used to proxy for the likelihood of tail events like crashes and bubbles in a market and, thus, is a crucial … measure of stock market stability. Since crashes and bubbles are, almost by definition, unpredictable, we, unlike scarce prior …

We extend the constant discount factor model with intrinsic bubbles developed in Froot and Obstfeld (1991) to account … component in both series. This inference is robust to whether or not the parameters governing the intrinsic bubbles process are …

Empirical evidence has demonstrated that there are bubbles in the prices of financial assets, in other words, when … to the following questions: What reasons are given by existing literature to explain why bubbles exist in the prices of … financial assets? What are the implications of the existence of these bubbles for public policy? What research topics are linked …