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The role of reference-dependent preferences in the idiosyncratic volatility puzzle : evidence from Korea

Le Thi Minh Hang; Hoang Van Hai; Nguyen Truong Son - In: Cogent economics & finance 8 (2020) 1, pp. 1-15

In this paper, the role of the reference-dependent preference in the relationship between idiosyncratic volatility and … a reference point for a definition of the loss and gains domain. As a consequence, the negative idiosyncratic volatility … domain, suggesting the important role of the reference-dependent preference in the idiosyncratic volatility puzzle …

Persistent link: https://www.econbiz.de/10013179662

Idiosyncratic volatility, turnover and the cross-section of stock returns : evidence from the Korean stock market

Kim, Jungmu; Lee, Changjun; Lee, Woo-Hyuk; Ok, Youngkyung; … - In: International journal of emerging markets 18 (2023) 12, pp. 6192-6213

Persistent link: https://www.econbiz.de/10014463100

Retail investors and the idiosyncratic volatility puzzle : evidence from the Korean stock market

Kang, Jangkoo; Lee, Eunmee; Sim, Myounghwa - In: Asia-Pacific journal of financial studies 43 (2014) 2, pp. 183-222

Persistent link: https://www.econbiz.de/10010408036

Idiosyncratic volatility, returns, and mispricing : no real anomaly in sight

Zaremba, Adam; Czapkiewicz, Anna; Będowska-Sójka, Barbara - In: Finance research letters 24 (2018), pp. 163-167

Persistent link: https://www.econbiz.de/10011982555

Does investor sentiment create value for asset pricing? : an empirical investigation of the KOSPI-listed firms

Bouteska, Ahmed; Sharif, Taimur; Abedin, Mohammad Zoynul - In: International journal of finance & economics : IJFE 29 (2024) 3, pp. 3487-3509

Persistent link: https://www.econbiz.de/10014635407

Are extreme returns priced in the stock market? : European evidence

Annaert, Jan; De Ceuster, Marc J.; Verstegen, Kurt - In: Journal of banking & finance 37 (2013) 9, pp. 3401-3411

Persistent link: https://www.econbiz.de/10010126415

MAX, lottery-type stocks, and the cross-section of stock returns : evidence from the Chinese stock market

Hoang Van Hai - In: Cogent economics & finance 11 (2023) 1, pp. 1-33

This study empirically investigates a relationship between MAX and lottery-type stocks in the Chinese stock markets. We find that the lottery-type stocks, which are preferred for lottery demand of investors, are negatively priced in the Chinese market. Moreover, the MAX effect as a proxy for...

Persistent link: https://www.econbiz.de/10014500653

Mispricing of US shocks in the Korean stock market

Park, Chul W.; Yi, Andrew Chunwon - In: Asia-Pacific journal of financial studies 40 (2011) 3, pp. 347-376

Persistent link: https://www.econbiz.de/10009388579

On the relationship between economic policy uncertainty, geopolitical risk and stock market returns in South Korea : a quantile causality analysis

Adebayo, Tomiwa; Akadiri, Seyi; Rjoub, Husam - In: Annals of financial economics 17 (2022) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10013189195

Country-specific idiosyncratic risk and global equity index returns

Hueng, C. James; Yau, Ruey - In: International review of economics & finance : IREF 25 (2013), pp. 326-337

Persistent link: https://www.econbiz.de/10009693293