greatest impediment to market efficiency. We also find that the impact of idiosyncratic volatility on the Vo/P anomaly is more …

Although there is an extensive literature on the impact of volatility on asset returns correlation, investigating this … analysis between rolling correlation and volatility index (VIX). Results showed more impact of volatility on the midterm … study contributes to existing literature by comparing the volatility impact across a broad range of assets and multiple time …

returns and a negative relationship with volatility and trading volume. Conclusions Our study contributes to understanding the …

idiosyncratic volatility and subsequent stock returns (the idiosyncratic volatility puzzle). We find that surprisingly many existing … puzzle in individual stocks and 78-84% of the puzzle in idiosyncratic volatility-sorted portfolios. Our methodology can be …

This paper aims to examine the relation between idiosyncratic volatility (IVOL) and stock returns with full-sample and …

This paper examines the interaction between short-run return reversals, momentum and idiosyncratic volatility in the … Australian market. We confirm that stocks with high idiosyncratic volatility earn low average returns over the next month. Unlike … examine whether the momentum effect is persistent in stocks with high idiosyncratic volatility. We find that stocks with high …

acquire financial information less frequently following periods of low market returns and high market volatility. In addition …