law of one price, and is present in all but risk-neutral economies. We test the cross-sectional predictions of our theory … equity than for assets, and stronger for more levered firms — consistent with the theory. We test also the timeseries … implications of the theory. Time variation in asset ivol causes time variation in the option value of equity that translates into …

successfully replicates (1) the volatility of stock prices and (2) the positive correlation between the price dividend ratio and …

quantitatively replicates (1) the volatility of stock prices and (2) the positive correlation between the price dividend ratio and …

We present some empirical evidence for short volatility strategies and for the cyclical pattern of their P&L. The … cyclical pattern of the short volatility strategies produces an alpha in good times but collapses to the beta in bad times. We … introduce a factor model with risk-aversion to explain the risk-premium of short volatility strategies as a compensation to bear …

predict future returns, there is a significant relation between volatility spreads and expected stock returns. Portfolio level … the realized-implied volatility spread that can be viewed as a proxy for volatility risk. The results also provide … evidence for a significantly positive link between expected returns and the call-put options' implied volatility spread that …

its joint impact with heterogeneous beliefs about news content. Investors trade volatility derivatives against each other … positions. When disagreement about news arrival frequency is low, volatility exhibits mean reversion because extreme optimists … arrival rate leads to volatility persistence. When news is absent in such environments, volatility sellers dominate, and …