...Jason E. Heavilin; Hilmi Songur This paper revisits and extends the analysis in Ohlson and Penman (1985). Their study reported an arbitrary increase in volatility of returns after a stock split. We replicate these results and extend the sample to cover from 1962 to 2022. We find that increases...

...Haimanot Kassa; Feifei Wang; Yan Xuemin (Sterling) We replicate the findings of French, Schwert, and Stambaugh (FSS, 1987) almost exactly. Consistent with FSS, we find modest evidence of a positive relation between market risk premium and the expected market volatility and strong evidence...

... Volatility G12 G14 Along with its economy, China’s capital market has experienced a fast growth in the past three decades. By market capitalization, it is now the second largest in the world. Table 1 describes the sizes of their capital markets for the five largest economies by GDP. However...