We show analytically that the cross-sectional relation between idiosyncratic volatility estimated as the variance of the residuals in a single factor model and expected stock return may be represented by a truncated parabola that opens to the left and has horizontal axis. This relation is...

This study investigates the relation between volatility in the returns and trading volume adjusted for overall up/down price movement in 59 stocks from the Australian market. Two proxies for rate of information arrival accommodating up/down price movement over the trading period and the...