Comparing Different Explanations of the Volatility Trend

We analyze the puzzling behavior of the volatility of individual stock returns over the past few decades. The literature has provided many different explanations to the trend in volatility and this paper tests the viability of the different explanations. Virtually all current theoretical arguments that are provided for the trend in the average level of volatility over time lend themselves to explanations about the difference in volatility levels between firms in the cross-section. We therefore focus separately on the crosssectional and time-series explanatory power of the different proxies. We fail to find a proxy that is able to explain both dimensions well. In particular, we find that Cao et al. (2008) market-to-book ratio tracks average volatility levels well, but has no crosssectional explanatory power. On the other hand, the low-price proxy suggested by Brandt et al. (2010) has much cross-sectional explanatory power, but has virtually no time-series explanatory power. We also find that the different proxies do not explain the trend in volatility in the period prior to 1995 (R-squared of virtually zero), but explain rather well the trend in volatility at the turn of the Millennium (1995-2005).Volatility; Trend; Turnover

Local Spin Susceptibilities of Low-Dimensional Electron Systems

We investigate, assess, and suggest possibilities for a measurement of the local spin susceptibility of a conducting low-dimensional electron system. The basic setup of the experiment we envisage is a source-probe one. Locally induced spin density (e.g. by a magnetized atomic force microscope tip) extends in the medium according to its spin susceptibility. The induced magnetization can be detected as a dipolar magnetic field, for instance, by an ultra-sensitive nitrogen-vacancy center based detector, from which the spatial structure of the spin susceptibility can be deduced. We find that one-dimensional systems, such as semiconducting nanowires or carbon nanotubes, are expected to yield a measurable signal. The signal in a two-dimensional electron gas is weaker, though materials with high enough $g$-factor (such as InGaAs) seem promising for successful measurements.Comment: 11 pages, 12 figure