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Implied volatility and the cross section of stock returns in the UK

Poshakwale, Sunil S.; Chandorkar, Pankaj; Agarwal, Vineet - In: Research in international business and finance 48 (2019), pp. 271-286

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Is oil risk important for commodity-related currency returns?

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Is there momentum in factor premia? : evidence from international equity markets

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Idiosyncratic volatility and stock returns : a cross country analysis

Pukthuanthong, Kuntara; Visaltanachoti, Nuttawat - In: Applied financial economics 19 (2009) 16/18, pp. 1269-1281

Empirical evidences regarding the association of idiosyncratic volatility and stock returns are inconsistent with the … Capital Asset Pricing Model (CAPM), which implies that idiosyncratic risk should not be priced because it would be fully …) estimated conditional idiosyncratic volatility of individual stocks across 36 countries from 1973 to 2007, we find that …

Persistent link: https://www.econbiz.de/10003886161

Extreme returns in emerging stock markets : evidence of a MAX effect in South Korea

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Does the equity premium puzzle persist during financial crisis? : the case of the French equity market

Bellelah, M. A.; Bellelah, M. O.; Ben Ameur, Hachmi; … - In: Research in international business and finance 39 (2017), pp. 851-866

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The returns, risk and liquidity relationship in high frequency trading : evidence from the Oslo stock market

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Is idiosyncratic volatility priced in cryptocurrency markets?

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Variance risk premium and equity returns

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Is volatility risk priced after all? : some disconfirming evidence

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