only determinant of risk in the South African stock market. We also found positive beta-idiosyncratic volatility (IVOL …

In this study, I investigate the robustness of the idiosyncratic volatility puzzle to the configuration of the research … volatility puzzle approving the findings of Ang et al. (2006). However, when idiosyncratic volatility is estimated from monthly … design. Using the regression- as well as the portfolio-based concept, I start with the replication of the idiosyncratic …

This study examines the effect of the COVID-19 pandemic on the relationship between idiosyncratic volatility and …), we estimate monthly idiosyncratic volatility and investigate the effect of the COVID-19 pandemic at the portfolio and … idiosyncratic volatility and subsequent stock returns switches from negative to positive during the pandemic period. Furthermore, we …

This study examines the effect of the COVID-19 pandemic on the relationship between idiosyncratic volatility and …), we estimate monthly idiosyncratic volatility and investigate the effect of the COVID-19 pandemic at the portfolio and … idiosyncratic volatility and subsequent stock returns switches from negative to positive during the pandemic period. Furthermore, we …

only determinant of risk in the South African stock market. We also found positive beta-idiosyncratic volatility (IVOL …

with idiosyncratic volatility. Multilevel linear regression found that accrual quality and earnings persistence are … negatively related to idiosyncratic volatility. Firms with a high value of accrual quality and those with more persistent … influenced the idiosyncratic volatility, suggesting that firms with less smooth earnings display an increase in stock return …