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Showing 1 to 4 of 4 for “"Volatility puzzle"”.
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Two Essays in Finance: The Consequences of Mandated Compensation Disclosure, and The Idiosyncratic Volatility Puzzle
… of my dissertation focuses on the idiosyncratic volatility puzzle - the negative relation between estimated idiosyncratic volatility and the subsequent month returns documented by Ang et al (2006). We document a systematic pattern of temporary increases in the estimated idiosyncratic volatility …
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Three essays on financial economics
… from government liquidity. Chapter 2: Stock Volatility and the Great Depression Stock return volatility during the Great Depression has been labeled a ``volatility puzzle'' because the standard deviation of stock returns was 2 to 3 times higher than any other period in American history. We …
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Three Essays on Asset Pricing
… and can explain part of the idiosyncratic volatility puzzle. Moreover, I show that the average idiosyncratic jump risk of individual firms represents a systematic risk factor that affects the cross-section of stock returns, even after controlling for the aggregate market jump risk. These …
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Essays on the Equity Premium Puzzle
<p>The equity premium puzzle emanates from the inability of the theoretical models to explain the empirically observed high equity premium (when the average stock returns so much higher than the average bond returns). The puzzle is that in order to reconcile the much higher return on stock compared …