Poudeh, Seyed Reza Tabatabaei; Choi, Sungchul; Fu, Chengbo - In: Risks : open access journal 10 (2022) 3, pp. 1-11
contrary, when we control for the one-month return reversal, the effect of idiosyncratic volatility on the subsequent stock … returns becomes insignificant in both periods. Therefore, the short-term return reversal effect is the underlying reason for …