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 stock returns for a sample … liquidity risk component. Using a five-factor model, the results suggest that idiosyncratic risk does not play a role on stock …

In this paper, I test the performance of the CAPM, Fama-French three-factor and Carhart four-factor models on the … well as on size and momentum, and I try to explain their returns with the above-mentioned asset pricing models. The CAPM …

following recessions, the conditional pricing of liquidity creates a correction in prices of the high idiosyncratic volatility …

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 …

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 …

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 …

. 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 …

We investigate the pricing of market volatility risk as a risk factor – the innovation risk and as a characteristic … risk – the level risk. We find that the pricing of the country-level (local) market volatility risk factor is not robust … across 21 developed markets and that the global market volatility risk factor prices 21 developed market portfolios after …