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 investigate the significance of extreme positive returns (MAX) in the cross- sectional pricing of stocks in South Korea. Our results provide important out of sample evidence of a strong negative MAX effect similar to that documented by Bali et al., (2011) in the U.S. stock market. For...

Recent evidence in the U.S. and Europe indicates that stocks with high maximum daily returns in the previous month, perform poorly in the current month. We investigate the presence of a similar effect in the emerging Chinese stock markets with portfolio-level analysis and firm-level Fama-MacBeth...