Bley, Jorg; Saad, Mohsen - In: Journal of International Financial Markets, … 22 (2012) 3, pp. 538-554
We investigate the pricing of idiosyncratic volatility of seven frontier markets in six GCC countries. We find a significant (marginal) negative relationship between expected returns and lagged idiosyncratic volatility for individual stocks in Saudi Arabia (Qatar) but none in Kuwait and Abu...