Bollen, Bernard; Skotnicki, Anthony; Veeraraghavan, Madhu - In: Applied financial economics 19 (2009) 19/21, pp. 1573-1579
subperiods. Our findings suggest that idiosyncratic volatility is not priced in the Australian market. …). Specifically, this article follows the methodology of Bali et al. (2005) and investigates whether idiosyncratic volatility is able … to predict 1-month ahead excess returns on the value-weighted market index (the All Ordinaries Index-AOI), over the …
