Limit-to-arbitrage factors and IVOL returns puzzle : empirical evidence from Taiwan before and during COVID-19
Year of publication: |
2021
|
---|---|
Authors: | Khoa Dang Duong ; Qui Nhat Nguyen ; Truong Vinh Le ; Diep Van Nguyen |
Published in: |
Annals of financial economics. - Hackensack, NJ [u.a.] : World Scientific, ISSN 2010-4952, ZDB-ID 2732467-9. - Vol. 16.2021, 1, p. 1-18
|
Subject: | Covid-19 pandemic | asset pricing | idiosyncratic volatility | limit-to-arbitrage | cross-sectional stock returns | illiquidity | Coronavirus | Taiwan | Kapitaleinkommen | Capital income | Volatilität | Volatility | CAPM | Risikoprämie | Risk premium | Epidemie | Epidemic | Börsenkurs | Share price | Kapitalmarktrendite | Capital market returns |
-
Idiosyncratic volatility and the cross-section of anomaly returns : is risk your ally?
Zaremba, Adam, (2019)
-
The short-run and long-run components of idiosyncratic volatility and stock returns
Liu, Yunting, (2022)
-
Idiosyncratic volatility, the VIX and stock returns
Qadan, Mahmoud, (2019)
- More ...
-
Tran, Vu Hoang, (2023)
-
Khoa Dang Duong, (2023)
-
How fears index and liquidity affect returns of ivol puzzle before and during the Covid-19 pandemic
Khoa Dang Duong, (2022)
- More ...