1% ============================================================================2\section{Introduction}3\label{sec:introduction}4% ============================================================================56The question of \ldots{} has attracted considerable attention in the finance and economics literature. Despite the growing body of evidence, the mechanisms underlying \ldots{} remain poorly understood. This paper contributes to this line of research by \ldots{}78The motivation for this study is threefold. First, \ldots{} Second, \ldots{} Third, \ldots{}910Our main findings can be summarized as follows. We show that \ldots{} Furthermore, we document that \ldots{} Finally, our robustness checks confirm that \ldots{}1112This paper relates to several strands of the literature. First, it contributes to the literature on \ldots{} \citep{fama1993common}. Second, it builds on the work of \citet{bollerslev1986generalized} by \ldots{} Third, our methodological approach draws on \citet{newey1987simple}.1314The remainder of the paper is organized as follows. Section~\ref{sec:literature} reviews the related literature. Section~\ref{sec:data} describes the data. Section~\ref{sec:methodology} presents the empirical methodology. Section~\ref{sec:results} reports the main results. Section~\ref{sec:robustness} provides robustness checks. Section~\ref{sec:conclusion} concludes.15