In this paper, we examine the relationship between idiosyncratic volatility and future returns around the firm …-specific news announcements in the Chinese stock market following. The results show that the pricing of non-news idiosyncratic … volatility is more strongly negative compared to news idiosyncratic volatility. Such findings imply that limited arbitrage cannot …

In this paper, we examine the relationship between idiosyncratic volatility and future returns around the firm …-specific news announcements in the Chinese stock market following. The results show that the pricing of non-news idiosyncratic … volatility is more strongly negative compared to news idiosyncratic volatility. Such findings imply that limited arbitrage cannot …

This paper examines the relationship between idiosyncratic risk and stock returns in BRICS (Brazil, Russia, India …, China, and South Africa) countries by applying parametric and nonparametric approaches. It also explores the idiosyncratic … liquidity position. Finally, it investigates whether the idiosyncratic risk is priced in BRICS countries’ equity markets. The …

deregulation in the US with state-level idiosyncratic demand shocks, we show that geographically diversified banks reallocate funds … idiosyncratic shocks, financial integration reduces business cycle comovement and synchronizes consumption patterns. Our findings …

Using around 1 million repeat sales, we show idiosyncratic risk in real house price appreciation is time … systematic movements in idiosyncratic risk can be explained by time and regional variations in market thinness and differences in … interest rates are associated with lower idiosyncratic pricing, while tighter deposit requirements are associated with shorter …

Using around 1 million repeat sales, we show idiosyncratic risk in real house price appreciation is time … systematic movements in idiosyncratic risk can be explained by time and regional variations in market thinness and differences in … interest rates are associated with lower idiosyncratic pricing, while tighter deposit requirements are associated with shorter …