) legs of the anomaly portfolios with the highest idiosyncratic volatility produces monthly abnormal returns ranging from 0 … (negative) among overpriced (underpriced) stocks. We offer a new active anomaly-selection strategy that capitalizes on this … be subsumed by any other established anomaly-return predictor, like momentum or seasonality. The results are robust to …

In this paper, I test the performance of the CAPM, Fama-French three-factor and Carhart four-factor models on the … well as on size and momentum, and I try to explain their returns with the above-mentioned asset pricing models. The CAPM …

This paper tests the performance of the Capital Asset Pricing Model (CAPM) and the Fama-French three-factor and Carhart … models. The CAPM is rejected and the three-factor and four-factor models perform well for the size and B/M sorted portfolios …

uncertainty outperform their counterparts with the lowest change by up to 1% per month. The anomaly is not explained by other …