. 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 …

on subsequent stock market returns and exacerbates stock market volatility. Furthermore, stocks with large, negative …

idiosyncratic volatility and subsequent stock returns (the idiosyncratic volatility puzzle). We find that surprisingly many existing … puzzle in individual stocks and 78-84% of the puzzle in idiosyncratic volatility-sorted portfolios. Our methodology can be …

. This paper empirically examines (a) the statistical properties of the Korea's representative implied volatility index … volatility process of the index, using augmented heterogeneous autoregressive (HAR) models with exogenous covariates. The results … macroeconomic variables explain the VKOSPI. More importantly, we find that the stock market return and implied volatility index of …

idiosyncratic volatility and future stock returns. First, equity holders take on investments with high idiosyncratic risk when their … bad state. Second, the strategically increased idiosyncratic volatility decreases equity betas, particularly in bad states … low returns and alphas in firms with high idiosyncratic volatility …

few explanations for this finding. This study presents evidence that time-varying volatility can account for the power law … nonparametric volatility show a striking correspondence to the power law coefficients estimated from returns data for stocks in the …