This study examines the effect of the COVID-19 pandemic on the relationship between idiosyncratic volatility and expected stock returns. Using daily stock return data in the US market from the Center for Research in Security Prices (CRSP), we estimate monthly idiosyncratic volatility and...

We address the twin puzzles of anomalously low returns for high idiosyncratic volatility and high distress risk stocks, documented by Ang, Hodrick, Xing and Zhang (2006) and Campbell, Hilscher and Szilagyi (2005), respectively. We accomplish two objectives in this study. First, we investigate...

We investigate the link between distress and idiosyncratic volatility. Specifically, we examine the twin puzzles of anomalously low returns for high idiosyncratic volatility stocks and high distress risk stocks, documented by Ang et al (2006) and Campbell et al (2008), respectively. We document...

Hawkes Processes have been finding more applications in diverse areas of science, engineering and quantitative finance. In multi-frequency finance, various phenomena have been observed, such as shocks, crashes, volatility clustering, turbulent flows and contagion. Hawkes processes have been...