Poudeh, Seyed Reza Tabatabaei; Choi, Sungchul; Fu, Chengbo - In: Risks : open access journal 10 (2022) 3, pp. 1-11
expected stock returns. Using daily stock return data in the US market from the Center for Research in Security Prices (CRSP … idiosyncratic volatility and subsequent stock returns switches from negative to positive during the pandemic period. Furthermore, we … contrary, when we control for the one-month return reversal, the effect of idiosyncratic volatility on the subsequent stock …