Search Results - subject:"Idiosyncratic Volatility"

The role of dividends and investor sentiment in the relation between idiosyncratic risk and expected returns

Hur, Jungshik; Yang, Qing - In: Review of quantitative finance and accounting 63 (2024) 3, pp. 807-827

Persistent link: https://www.econbiz.de/10015178441

Idiosyncratic volatility, option-based measures of informed trading, and investor attention

Mohrschladt, Hannes; Schneider, Judith C. - In: Review of Derivatives Research 24 (2021) 3, pp. 197-220

the idiosyncratic volatility (IVol) puzzle. To do so, we employ three option-based volatility spreads and attention data …

Persistent link: https://www.econbiz.de/10014501538

Hedge funds and the positive idiosyncratic volatility effect

Bali, Turan G.; Weigert, Florian - 2021

While it is established that idiosyncratic volatility has a negative impact on the cross-section of future stock … returns, the relationship between idiosyncratic volatility and future hedge fund returns is largely unexplored. We document … that hedge funds with high idiosyncratic volatility outperform and this pattern is explained by the positive return effect …

Persistent link: https://www.econbiz.de/10012416702

Hedge funds and the positive idiosyncratic volatility effect

Bali, Turan G.; Weigert, Florian - 2021 - This version: December 2020

Persistent link: https://www.econbiz.de/10012416051

Extreme returns and idiosyncratic risks : evidence from an emerging market

Cho, Eunyoung - In: Journal of derivatives and quantitative studies : … 29 (2021) 1, pp. 29-48

In this paper, we show that there is a negative premium for MAX stocks in the Korean stock market. However, there is no evidence that the MAX effect overwhelms the effects of idiosyncratic risk. When we control for idiosyncratic risk, the negative relationship between extreme returns and future...

Persistent link: https://www.econbiz.de/10012592789

Idiosyncratic volatility, option-based measures of informed trading, and investor attention

Mohrschladt, Hannes; Schneider, Judith C. - In: Review of derivatives research 24 (2021) 3, pp. 197-220

Persistent link: https://www.econbiz.de/10012659668

Idiosyncratic volatility in commodity futures markets : measurement and puzzle

Hong, Liu; Zhou, Tianpeng - In: Managerial finance 49 (2023) 10, pp. 1641-1672

Persistent link: https://www.econbiz.de/10014428715

Exploring the nonlinear idiosyncratic volatility puzzle : evidence from China

Li, Bo; Boubaker, Sabri; Liu, Zhenya; Louhichi, Waël; … - In: Computational economics 62 (2023) 2, pp. 527-559

Persistent link: https://www.econbiz.de/10014382734

The Fu (2009) positive relation between idiosyncratic volatility and expected returns is due to look-ahead bias

Park, Seongkyu; Wei, K. C. John; Zhang, Linti - In: Critical finance review 12 (2023) 1/4, pp. 57-124

Persistent link: https://www.econbiz.de/10014370370

Has idiosyncratic volatility increased? : not in recent times

Chiah, Mardy; Gharghori, Philip; Zhong, Angel - In: Critical finance review 12 (2023) 1/4, pp. 125-170

Persistent link: https://www.econbiz.de/10014370371