This paper examines the idiosyncratic volatility (IV) puzzle in the Indian stock market for the period 1999–2014. Univariate and bivariate sorting, as well as cross-section regressions, suggest a positive relation between idiosyncratic volatility and future stock returns. However, this...

The relation between idiosyncratic risk and stock returns is currently a topic of debate in the academic literature. So far the evidence regarding the relation is mixed. This study aims to investigate the cross-sectional relation between idiosyncratic risk and stock returns in the Indian stock...

In this study Fama and French three-factor model is augmented to take into account the time variation in systematic risk (as measured by time-varying betas), in addition to size and book-to market equity factors. It is investigated whether the two factors are still priced on the stock exchange...

This study tests the presence of day-of-the-week effect with respect to the VIX (fear gauge) and its underlying market index Nifty 50 in India for a period from March 2009 to February 2016 using OLS and GARCH (1, 1) framework. Investors can use the day-of-the-week effects information to avoid...