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...

Recent studies suggest that momentum returns are conditioned by market states, but we find that China is different. First, we find that momentum returns in China exclusively follow DOWN markets contrary to the U.S. evidence. Second, the absence of momentum returns following UP markets in China...

Recent evidence on momentum returns shows that the time-series (TS) strategy outperforms the cross-sectional (CS) strategy. We present new evidence that this happens only when the market continues in the same state, UP or DOWN. In fact, we find that the TS strategy underperforms the CS strategy...

We test the behavioural theories of overconfidence and underreaction on cross-sectional (CS) and times-series (TS) momentum returns in the Japanese stock markets. Both CS and TS momentum returns are large and significant when the market continues in the same state and turns into losses when the...

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...

A recent theory of information uncertainty (IU) postulates a negative (positive) relationship between IU and future returns (momentum returns). We extend this theory by showing that its predictions could be conditioned by differences in behavioral biases induced by culture. We find that greater...

We search for differences in both unconditional and conditional momentum returns of Islamic and Non-Islamic stocks and test implications of competing behavioral theories that aim to explain momentum returns. Our results show that there is no significant difference in momentum returns between...

We test the behavioural theories of overconfidence and underreaction on cross-sectional (CS) and times-series (TS) momentum returns in the Japanese stock markets. Both CS and TS momentum returns are large and significant when the market continues in the same state and turns into losses when the...

We search for differences in both unconditional and conditional momentum returns of Islamic and Non-Islamic stocks and test implications of competing behavioral theories that aim to explain momentum returns. Our results show that there is no significant difference in momentum returns between...

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...