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Idiosyncratic volatility and stock returns : a cross country analysis

Pukthuanthong, Kuntara; Visaltanachoti, Nuttawat - In: Applied financial economics 19 (2009) 16/18, pp. 1269-1281

Empirical evidences regarding the association of idiosyncratic volatility and stock returns are inconsistent with the Capital Asset Pricing Model (CAPM), which implies that idiosyncratic risk should not be priced because it would be fully eliminated through diversification. Using Exponential...

Persistent link: https://www.econbiz.de/10003886161

Cojumps and asset allocation in international equity markets

Arouri, Mohamed; M’saddek, Oussama; Nguyen, Duc Khuong; … - In: Journal of economic dynamics & control 98 (2019), pp. 1-22

Persistent link: https://www.econbiz.de/10012130688

Internationally correlated jumps

Pukthuanthong, Kuntara; Roll, Richard - In: Review of asset pricing studies 5 (2015) 1, pp. 92-111

Persistent link: https://www.econbiz.de/10011318433

Internationally correlated jumps

Pukthuanthong, Kuntara; Roll, Richard - 2012

Persistent link: https://www.econbiz.de/10009765209

Is the diversification benefit of frontier markets realizable by mean-variance investors? : the evidence of investable funds

Berger, Dave; Pukthuanthong, Kuntara; Yang, J. Jimmy - In: The journal of portfolio management : a publication of … 39 (2013) 4, pp. 36-48

Persistent link: https://www.econbiz.de/10009786071

Underwriters and the Broken Chinese Wall: institutional holdings and post-IPO securities litigation

Barabanov, Sergey S.; Ozocak, Onem; Pukthuanthong, Kuntara - In: The journal of financial research 36 (2013) 4, pp. 543-577

Persistent link: https://www.econbiz.de/10010250772

Asset allocation barbells

Pukthuanthong, Kuntara; Thomas, Lee R. - 2008

Persistent link: https://www.econbiz.de/10003764452

Do hedge funds dynamically manage systematic risk?

Namvar, Ethan; Phillips, Blake; Pukthuanthong, Kuntara; … - In: Journal of banking & finance 64 (2016), pp. 1-15

Persistent link: https://www.econbiz.de/10011634227