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Idiosyncratic volatility and stock returns : Indian evidence

Aziz, Tariq; Ansari, Valeed Ahmad - In: Cogent economics & finance 5 (2017) 1, pp. 1-20

This paper examines the idiosyncratic volatility (IV) puzzle in the Indian stock market for the period 1999 … volatility and future stock returns. However, this relation is sensitive to the choices of portfolio weighting schemes, types of …

Persistent link: https://www.econbiz.de/10011887525

Quantile risk-return trade-off

Aslanidis, Nektarios; Christiansen, Charlotte; Savva, … - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-14

We investigate the risk-return trade-off on the US and European stock markets. We investigate the non-linear risk-return trade-off with a special eye to the tails of the stock returns using quantile regressions. We first consider the US stock market portfolio. We find that the risk-return...

Persistent link: https://www.econbiz.de/10012587977

Risk and Return in the Chinese Stock Market : Does Equity Return Dispersion Proxy Risk?

Chen, Chun-Da - 2015

even after controlling for market, size, book-to-market, and idiosyncratic volatility effects. We observe that stocks with …

Persistent link: https://www.econbiz.de/10013023627

Paper profits from value, size and momentum : Evidence from the Polish market

Zaremba, Adam; Konieczka, Przemysław - In: E-Finanse : finansowy kwartalnik internetowy 11 (2015) 3, pp. 58-69

factor premiums are present after accounting for liquidity constraints. Fourth, we check whether the factor premiums are …, but they disappear after accounting for transaction costs and liquidity. …

Persistent link: https://www.econbiz.de/10011455379

Nexus between stock returns, funding liquidity and COVID-19

Marozva, Godfrey; Magwedere, Margaret Rutendo - In: Spoudai : journal of economics and business 71 (2021) 3/4, pp. 86-100

funding liquidity, stock returns and COVID-19 pandemic is examined using the fixed effects model. Results show that funding … liquidity and the COVID-19 pandemic interacts positively with stock market returns. The findings were irrational to the … the negative impact of the witnessed spike in COVID-19 cases. The revelation that funding liquidity contrary to theory …

Persistent link: https://www.econbiz.de/10013169366

Idiosyncratic Volatility, Momentum, Liquidity, and Expected Stock Returns in Developed and Emerging Markets

Switzer, Lorne N. - 2016

idiosyncratic volatility and expected returns for developed markets. This relationship has not been studied to date for emerging … markets. This study relates the current-month's idiosyncratic volatility to the subsequent month's returns for a sample of … both developed and emerging markets expanding benchmark factors by including both a momentum and a systematic liquidity …

Persistent link: https://www.econbiz.de/10013005204

Liquidity Costs, Idiosyncratic Volatility and Expected Stock Returns

Bradrania, Reza; Peat, Maurice; Satchell, Stephen - 2021

This paper considers liquidity as an explanation for the positive association between expected idiosyncratic volatility … (IV) and expected stock returns. Liquidity costs may affect the stock returns, through bid-ask bounce and other … that this premium is driven by liquidity in the prior month after correcting returns for microstructure noise. The pricing …

Persistent link: https://www.econbiz.de/10013312353

Idiosyncratic Volatility, Momentum, Liquidity, and Expected Stock Returns in Developed and Emerging Markets

Switzer, Lorne N. - 2015

idiosyncratic volatility and expected returns for developed markets. This relationship has not been studied to date for emerging … markets. This study relates the current-month's idiosyncratic volatility to the subsequent month's stock returns for a sample … liquidity risk component. Using a five-factor model, the results suggest that idiosyncratic risk does not play a role on stock …

Persistent link: https://www.econbiz.de/10013012477

Do Five Asset Pricing Anomalies Share a Common Mispricing Factor? Multifaceted Empirical Analyses of Failure Risk Proxies, External Financing, and Stock Returns

Ogden, Joseph P. - 2010

Assuming that risk premiums are determined by failure risk, we present a stylized model of interactions among risk-proxy variables, external financing, and stock returns in which a common mispricing factor, involving operating profit and external financing, drives the following five asset...

Persistent link: https://www.econbiz.de/10013147129

The cross-section of stock returns in an early stock market

Ye, Qing; Turner, John D. - 2014

Using a new dataset which contains monthly data on 1,015 stocks traded on the London Stock Exchange between 1825 and 1870, we investigate the cross section of stock returns in this early capital market. Unique features of this market allow us to evaluate the veracity of several popular...

Persistent link: https://www.econbiz.de/10010362246