between the maximum daily return over the past one month (MAX) and expected stock returns. Average raw and risk …

between the maximum daily return over the past one month (MAX) and expected stock returns. Average raw and risk …

A conditional asset pricing model with risk and uncertainty implies that the time-varying exposures of equity … portfolios to the market and uncertainty factors carry positive risk premiums. The empirical results from the size, book … (individual stocks) with market and uncertainty predict the time-series and cross-sectional variation in stock returns. We find …

A conditional asset pricing model with risk and uncertainty implies that the time-varying exposures of equity … portfolios to the market and uncertainty factors carry positive risk premiums. The empirical results from the size, book … (individual stocks) with market and uncertainty predict the time-series and cross-sectional variation in stock returns. We find …

While it is established that idiosyncratic volatility has a negative impact on the cross-section of future stock …