Motivated by Bali et al. (2011) and Ang et al. (2006 & 2009), we examine the cross-sectional relationship between the expected stock return and both the maximum daily return (MAX) and the idiosyncratic volatility (IVOL) in the five largest emerging African stock markets over the period from 2001...

We investigate the time series behavior of idiosyncratic volatility and its role in asset pricing in China. We find no evidence of a long-term trend in the time series behavior of idiosyncratic volatility. Idiosyncratic volatility in China is best characterized by an autoregressive process with...

We investigate the significance of extreme positive returns (MAX) in the cross- sectional pricing of stocks in South Korea. Our results provide important out of sample evidence of a strong negative MAX effect similar to that documented by Bali et al., (2011) in the U.S. stock market. For...

Purpose – The purpose of this paper is report the importance of research publications for the tenure promotion and for faculty in accounting, finance, and information system (IS) areas, developing valid criteria for the assessment of quality in related journals is...

We explore the impact of economic policy uncertainty exposure (hereafter, EPU exposure) on stock price bubbles. We fnd that there exists a signifcantly positive relationship between EPU exposure and stock price bubbles. This result is still signifcant after a series of robustness checks....

We employ low-frequency data to estimate historical volatility measures for Hong Kong stocks and examine the relationship between these measures and the one-month ahead stock return over thirty-five years. First, we employ a stock's past three-year weekly return to compute idiosyncratic...

Recent evidence in the U.S. and Europe indicates that stocks with high maximum daily returns in the previous month, perform poorly in the current month. We investigate the presence of a similar effect in the emerging Chinese stock markets with portfolio-level analysis and firm-level Fama-MacBeth...

Motivated by Huang et al.'s (2013) recent arguments, we empirically examine the risk-return tradeoff in a liberalized emerging stock market, Vietnam during 2007 to 2014. We find that: i) neither realized idiosyncratic volatility nor conditional idiosyncratic volatility has been priced; ii) both the...

Using a manually collected dataset on the overseas experiences of directors of Chinese listed firms, we examine the effects of returnee directors on firms' corporate social responsibility (CSR) engagement. Our results show that returnee directors significantly improve their firms' CSR...

Purpose: The current research is to investigate the time series behavior of idiosyncratic volatility (IVOL) and its role in asset pricing in France in a twenty-year testing period. Design/methodology/approach: We test for the presence of trends in aggregate idiosyncratic and market volatility...