Friday, August 19, 2011, 10:30-12:15 pm; Financial Econometrics
Volatility - C6

Session Chair: Roméo Tedongap, Stockholm School of Economics

• Idiosyncratic Risk and the Cross-Section of Stock Returns PDF
  René Garcia, Daniel Mantilla-Garcia, Lionel Martellini
  EDHEC Business School, France
  • Discussant: Claudia Moise, Case Western Reserve University

• Bond Variance Risk Premia PDF
  Philippe Mueller, Andrea Vedolin, Yu-min Yen
  London School of Economics
  • Discussant: Grigory Vilkov, Goethe University Frankfurt

• On the Effects of Private Information on Volatility PDF
  Anne Opschoor¹, Nick Taylor², Michel Van der Wel¹, Dick Van Dijk¹
  Erasmus University¹; Cardiff Business School²
  • Discussant: Christian Wagner, Vienna University of Economics and Business