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Idiosyncratic volatility and stock returns : a cross country analysis

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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 eliminated through diversification. Using Exponential...

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The disappearance of style in the US equity market

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Structural breaks and common factors in the volatiliy of the Fama-French factor portfolios

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Momentum profits, nonnormality risks and the business cycle

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Momentum strategy and institutional investing in Taiwan stock market

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Momentum in stock market returns : implications for risk premia on foreign currencies

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Disposition effect and mutual fund performance

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Optimal diversification across mutual funds

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