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The effect of COVID-19 on the relationship between idiosyncratic volatility and expected stock returns

Poudeh, Seyed Reza Tabatabaei; Choi, Sungchul; Fu, Chengbo - In: Risks : open access journal 10 (2022) 3, pp. 1-11

This study examines the effect of the COVID-19 pandemic on the relationship between idiosyncratic volatility and …), we estimate monthly idiosyncratic volatility and investigate the effect of the COVID-19 pandemic at the portfolio and … idiosyncratic volatility and subsequent stock returns switches from negative to positive during the pandemic period. Furthermore, we …

Persistent link: https://www.econbiz.de/10013161497

Long run returns predictability and volatility with moving averages

Chang, Chia-Lin; Ilomäki, Jukka; Laurila, Hannu; … - In: Risks : open access journal 6 (2018) 4, pp. 1-18

This paper examines how the size of the rolling window, and the frequency used in moving average (MA) trading strategies, affects financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy stocks and when to shift to the risk-free rate. The...

Persistent link: https://www.econbiz.de/10011906234

An analysis of volatility and risk-adjusted returns of ESG indices in developed and emerging economies

Gupta, Hemendra; Chaudhary, Rashmi - In: Risks : open access journal 11 (2023) 10, pp. 1-18

of ESG indices against broad market indices. The evaluation also delves into downside volatility, a crucial factor for …, negative news has a milder impact on the volatility of ESG indices in all of the studied countries except for Germany. This …

Persistent link: https://www.econbiz.de/10014393124

Operating cost flexibility and implications for stock returns

Taussig, Roi D. - In: Risks : open access journal 12 (2024) 10, pp. 1-7

This study suggests a new measure for a firm's operating cost flexibility. Flexible firms are less risky and, therefore, require lower stock returns. This analysis of 126,202 firm-year observations from the U.S. cross-section of stock returns finds that the new measure explains a negative...

Persistent link: https://www.econbiz.de/10015130522

How does split announcement affect stock liquidity? : evidence from Bursa Malaysia

Tabibian, S. Amir; Zhang, Zhaoyong; Jafarian, Mohsen - In: Risks : open access journal 8 (2020) 3/85, pp. 1-14

This study examines the impact of stock splits on stock liquidity in Bursa Malaysia from 2004-2018. The study uses event study methodology and investigates liquidity changes, the role of liquidity, and the relationship between abnormal returns and liquidity as well. We found a significant...

Persistent link: https://www.econbiz.de/10012293272

Intangible assets and analysts' overreaction and underreaction to earnings information : empirical evidence from Saudi Arabia

Elkemali, Taoufik - In: Risks : open access journal 12 (2024) 4, pp. 1-16

distinguish between bad and good news and investigate the impact of intangible assets-synonymous with high uncertainty and risk …

Persistent link: https://www.econbiz.de/10014636511

Expectations of macroeconomic news announcements : Bitcoin vs. traditional assets

Mužić, Ivan; Gržeta, Ivan - In: Risks : open access journal 10 (2022) 6, pp. 1-15

announcements from the U.S. were selected, and an empirical analysis of the daily returns, volatility, and volume of the selected …

Persistent link: https://www.econbiz.de/10013363036

Initial investigations of intra-day news flow of S&P500 constituents

Liew, Jim Kyung-Soo; Zhou, Zhechao - In: Risks : open access journal 2 (2014) 2, pp. 89-102

In this work, we examine Thomas Reuters News Analytics (TRNA) data. We found several fascinating discoveries. First, we document the phenomenon that we label "Jam-the-Close": The last half hour of trading (15:30 to 16:00 EST) contains a substantial and statistically significant amount of news...

Persistent link: https://www.econbiz.de/10010338087

Asymmetric return and volatility transmission in conventional and Islamic equities

Umar, Zaghum; Suleman, Tahir - In: Risks : open access journal 5 (2017) 2, pp. 1-18

asymmetric effect of return and volatility transmission. We empirically investigate the decoupling hypothesis of Islamic and …

Persistent link: https://www.econbiz.de/10011643393

Conditional variance forecasts for long-term stock returns

Mammen, Enno; Nielsen, Jens Perch; Scholz, Michael; … - In: Risks : open access journal 7 (2019) 4/113, pp. 1-22

of covariates as well as the smoothing parameters via cross-validation. We find that volatility forecastability is much …

Persistent link: https://www.econbiz.de/10012127861

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