Momentum, size, and low volatility in emerging markets regularly exhibit increased correlations across factors and …

returns and a negative relationship with volatility and trading volume. Conclusions Our study contributes to understanding the …

Although there is an extensive literature on the impact of volatility on asset returns correlation, investigating this … analysis between rolling correlation and volatility index (VIX). Results showed more impact of volatility on the midterm … study contributes to existing literature by comparing the volatility impact across a broad range of assets and multiple time …

Motivated by standard portfolio theory, this paper incorporates ex-ante volatility estimates in the construction of … ratio from 0.34 to 1.14 and strongly reduced crash risk. This result is driven, in part, by the under weighting of high-volatility …

) legs of the anomaly portfolios with the highest idiosyncratic volatility produces monthly abnormal returns ranging from 0 …

This paper examines whether the negative relation between idiosyncratic volatility and expected returns is due to stock … is very sensitive to the measurement frequency of idiosyncratic volatility, and the daily realized idiosyncratic … volatility measure is a better proxy for the expected idiosyncratic volatility than the monthly measure. By employing an …

exposure to changes in the price of the underlying stock (delta), and exposure to changes in implied volatility (vega) are …-known market, size, book-to-market, momentum, and short-term reversal factors. Additional volatility, stock, and option market …

. Proposed extensions include a volatility regime switching mechanism (using dummy variables and the Markov approach) and the … fifth risk factor based on realized volatility of index returns. Moreover, instead of using data for stocks of a particular …