Search Results - subject:"Idiosyncratic volatility"

Firm-specific news and idiosyncratic volatility anomalies: Evidence from the Chinese stock market

In: Cogent Economics & Finance 10 (2022) 1, pp. 1-21

In this paper, we examine the relationship between idiosyncratic volatility and future returns around the firm … volatility is more strongly negative compared to news idiosyncratic volatility. Such findings imply that limited arbitrage cannot … fully explain the negative pricing of idiosyncratic volatility in the Chinese stock market. These results are robust after …

Persistent link: https://www.econbiz.de/10015074089

Firm-specific news and idiosyncratic volatility anomalies : evidence from the Chinese stock market

Hoang Van Hai - In: Cogent economics & finance 10 (2022) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10014500235

Idiosyncratic volatility and the cross-section of abnormal returns in Pakistan : evidence from a country with religious bans on lotteries and substantive institutional investor par...

Khurram, Muhammad Usman; Ali, Fahad; Ülkü, Numan - In: International review of economics & finance : IREF 98 (2025), pp. 1-22

Persistent link: https://www.econbiz.de/10015330660

Predicting expected idiosyncratic volatility : empirical evidence from ARFIMA, HAR, and EGARCH models

Xiao, Chuxuan; Huang, Winifred; Newton, David P. - In: Review of quantitative finance and accounting 63 (2024) 3, pp. 979-1006

Persistent link: https://www.econbiz.de/10015178466

Trust matters : a global perspective on the influence of trust on bank market risk

Abd-Elsalam, Omneya H.; Chantziaras, Antonios; Joseph, … - In: Journal of international financial markets, … 92 (2024), pp. 1-22

Persistent link: https://www.econbiz.de/10014535713

Diversification and idiosyncratic volatility puzzle : evidence from ETFs

Duanmu, Jun; Hur, Jungshik; Li, Yongjia - In: Research in international business and finance 71 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10015062053

Hedge funds and the positive idiosyncratic volatility effect

Bali, Turan G.; Weigert, Florian - 2024

Persistent link: https://www.econbiz.de/10015357595

Innovation output and idiosyncratic volatility: US evidence

Alshammasi, Naji Mohammad; Almomen, Adel Abdulkarim - In: Journal of Risk and Financial Management 16 (2023) 1, pp. 1-17

' involvement in innovation activities impacts their volatility, particularly their idiosyncratic volatility. In this paper, we … empirically examine the effect of innovation on idiosyncratic volatility. To do so, we empirically examine the impact of … innovation, measured by patents weighted by citations and R&D expenditure, on the idiosyncratic volatility of firms. Using a …

Persistent link: https://www.econbiz.de/10014332799

MAX, lottery-type stocks, and the cross-section of stock returns: Evidence from the Chinese stock market

In: Cogent Economics & Finance 11 (2023) 1, pp. 1-33

This study empirically investigates a relationship between MAX and lottery-type stocks in the Chinese stock markets. We find that the lottery-type stocks, which are preferred for lottery demand of investors, are negatively priced in the Chinese market. Moreover, the MAX effect as a proxy for...

Persistent link: https://www.econbiz.de/10015074754

The discordance of governance performance from environmental and social performance on idiosyncratic risk: The effect of board composition

Yang, Xin - In: Cogent Economics & Finance 11 (2023) 2, pp. 1-30

this backdrop, our study delves into the relationship between ESG performance and idiosyncratic volatility, utilizing a … intriguing discovery: governance performance does not significantly correlate with idiosyncratic volatility, whereas …

Persistent link: https://www.econbiz.de/10015074761