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 …

Although there is an extensive literature on the impact of volatility on asset returns correlation, investigating this … analysis between rolling correlation and volatility index (VIX). Results showed more impact of volatility on the midterm … study contributes to existing literature by comparing the volatility impact across a broad range of assets and multiple time …

. Proposed extensions include a volatility regime switching mechanism (using dummy variables and the Markov approach) and the … fifth risk factor based on realized volatility of index returns. Moreover, instead of using data for stocks of a particular …

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 … between expected idiosyncratic volatility and stock returns reverses to a positive one when accounting for the macro …

This paper examines the interaction between short-run return reversals, momentum and idiosyncratic volatility in the … Australian market. We confirm that stocks with high idiosyncratic volatility earn low average returns over the next month. Unlike … examine whether the momentum effect is persistent in stocks with high idiosyncratic volatility. We find that stocks with high …

exposure to changes in the price of the underlying stock (delta), and exposure to changes in implied volatility (vega) are …-known market, size, book-to-market, momentum, and short-term reversal factors. Additional volatility, stock, and option market …

idiosyncratic volatility and subsequent stock returns (the idiosyncratic volatility puzzle). We find that surprisingly many existing … puzzle in individual stocks and 78-84% of the puzzle in idiosyncratic volatility-sorted portfolios. Our methodology can be …