We investigate the time series behavior of idiosyncratic volatility and its role in asset pricing in China. We find no evidence of a long-term trend in the time series behavior of idiosyncratic volatility. Idiosyncratic volatility in China is best characterized by an autoregressive process with...

We explore the impact of economic policy uncertainty exposure (hereafter, EPU exposure) on stock price bubbles. We fnd that there exists a signifcantly positive relationship between EPU exposure and stock price bubbles. This result is still signifcant after a series of robustness checks....

Motivated by Huang et al.'s (2013) recent arguments, we empirically examine the risk-return tradeoff in a liberalized emerging stock market, Vietnam during 2007 to 2014. We find that: i) neither realized idiosyncratic volatility nor conditional idiosyncratic volatility has been priced; ii) both the...