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Idiosyncratic Volatility Puzzle : Influence of Macro-Finance Factors

Aslanidis, Nektarios - 2017

We analyze the cross-sectional relation between expected idiosyncratic volatility and stock returns. The expected idiosyncratic volatility is conditioned on macro-finance factors as well as traditional asset pricing factors. The macro-finance factors are constructed from a large set of...

Persistent link: https://www.econbiz.de/10012972461

Are there still portfolio diversification benefits in Eastern Europe? : aggregate versus sectoral stock market data

Aslanidis, Nektarios; Savva, Christos S. - In: The Manchester School 79 (2011) 6, pp. 1323-1352

Persistent link: https://www.econbiz.de/10009380865

Risk-return trade-off for European stock markets

Aslanidis, Nektarios; Christiansen, Charlotte; Savva, … - 2013

Persistent link: https://www.econbiz.de/10010190893

Idiosyncratic volatility puzzle : influence of macro-finance factors

Aslanidis, Nektarios; Christiansen, Charlotte; … - 2014

Persistent link: https://www.econbiz.de/10010433247

Short-horizon excess returns and exchange rate and interest rate effects

Joseph, Nathan Lael; Lambertides, Neophytos; Savva, … - In: Journal of international financial markets, … 37 (2015), pp. 54-76

Persistent link: https://www.econbiz.de/10011474975

Skewness and the relation between risk and return

Theodossiou, Panayiotis; Savva, Christos S. - In: Management science : journal of the Institute for … 62 (2016) 6, pp. 1598-1609

Persistent link: https://www.econbiz.de/10011502439

The risk and return conundrum explained : international evidence

Savva, Christos S.; Theodossiou, Panayiotis - In: Journal of financial econometrics : official journal of … 16 (2018) 3, pp. 486-521

Persistent link: https://www.econbiz.de/10011987799

Short-horizon event study estimation with a STAR model and real contaminated events

Andreou, Panayiotis C.; Louca, Christodoulos; Savva, … - In: Review of quantitative finance and accounting 47 (2016) 3, pp. 673-697

Persistent link: https://www.econbiz.de/10011595698

Risk-return trade-off for European stock markets

Aslanidis, Nektarios; Christiansen, Charlotte; Savva, … - In: International review of financial analysis 46 (2016), pp. 84-103

Persistent link: https://www.econbiz.de/10011580870

The effects of oil price shocks on U.S. stock order flow imbalances and stock returns

Lambertides, Neophytos; Savva, Christos S.; Tsouknidis, … - In: Journal of international money and finance 74 (2017), pp. 137-146

Persistent link: https://www.econbiz.de/10011787927