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 …

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

on subsequent stock market returns and exacerbates stock market volatility. Furthermore, stocks with large, negative …

volatility discourages heavier investments in stocks …

This paper aims to examine the relation between idiosyncratic volatility (IVOL) and stock returns with full-sample and … residuals estimated from regression based on capital asset pricing model (CAPM), Fama-French three-factor model and Carhart four …

We examine the interaction between market volatility, liquidity shocks, and stock returns in 41 countries over the … period 1990–2015. We find liquidity is an important channel through which market volatility affects stock returns in … international markets and we show this is distinct from the direct volatility–return relation. The influence of the liquidity …

We document that the variation in market liquidity is an important determinant of momentum crashes that is independent … sensitivity of short-leg of momentum portfolio to changes in market liquidity that flares the tail risk of momentum strategy in … such that the contemporaneous increase in market liquidity predominantly sums up the trademark negative relationship …

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 …

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 …