Search Results - subject:"Volatility effect"

The high returns to low volatility stocks are actually a premium on high quality firms

Walkshäusl, Christian - In: Review of Financial Economics 22 (2013) 4, pp. 180-186

study documents that the volatility effect is associated with the quality of the firm using a large sample of international … stocks. First, adding a quality factor to the Fama–French model contributes to the explanation of the volatility effect …

Persistent link: https://www.econbiz.de/10011064883

The volatility effect in emerging markets

Blitz, David; Pang, Juan; van Vliet, Pim - In: Emerging Markets Review 16 (2013) C, pp. 31-45

, but consistent with the results of studies for developed equity markets. The volatility effect appears to be growing …. Finally, we find that the volatility effect in emerging markets is only weakly related to that in developed equity markets …

Persistent link: https://www.econbiz.de/10010682555

Long-term verification of low volatility stock investment

Yamada, Toru - In: Public policy review 9 (2013) 3, pp. 553-574

Persistent link: https://www.econbiz.de/10010190441

The volatility effect in emerging markets

Blitz, David; Pang, Juan; Vliet, Willem Nicolaas van - In: Emerging markets review 16 (2013), pp. 31-45

Persistent link: https://www.econbiz.de/10010243169

The high returns to low volatility stocks are actually a premium on high quality firms

Walkshäusl, Christian - In: Review of financial economics : RFE 22 (2013) 4, pp. 180-186

Persistent link: https://www.econbiz.de/10010442729

The day-of-the-week effect as a risk for hedge fund managers / André Heymans

Heymans, Andre - 2005

found evidence of a mean returns effect and a volatility effect (day-of-the-week effect) in South Africa's All-share index …

Persistent link: https://www.econbiz.de/10009456057

THE RELATIONSHIP BETWEEN THE UNITED STATES AND VIETNAM STOCK MARKETS

Thuan, Luu Tien - In: The International Journal of Business and Finance Research 5 (2011) 1, pp. 77-89

, there is no evidence of a volatility effect of the S&P 500 Index on the VN-Index. To support the initial findings, the study …

Persistent link: https://www.econbiz.de/10011206039

The Expiration Effects of Stock-Index Derivatives: Empirical Evidence from the Taiwan Futures Exchange

Chou, Heng Chih; Chen, Wei Ning; Chen, Dar Hsin - In: Emerging Markets Finance and Trade 42 (2006) 5, pp. 81-102

Five index derivatives with the same expiration days, settlement days, and settlement systems have been consecutively traded on the Taiwan Futures Exchange (TAIFEX) since 1998. This paper examines the expiration effects of TAIFEX index derivatives on the underlying stock market between 1998 and...

Persistent link: https://www.econbiz.de/10005225776