volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main … nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …]-type models) were used to model and estimate BIST-100 volatility in response to political news. The findings of the paper …

We document a significant positive relation between earnings announcement idiosyncratic volatility and stock returns in … with the highest earnings announcement idiosyncratic volatility and stocks with the lowest earnings announcement … idiosyncratic volatility exceeds 100 basis points in the 10 days leading up to the earnings announcements. The pricing of earnings …

We provide evidence that an option implied volatility-based measure predicts future absolute excess returns of the … return volatility shortly before these information events, and the volatility of excess stock returns around these two events …, and also trade on the expected volatility. In addition, we show that net straddle returns (after transaction costs) around …

In this paper, we examine the relationship between idiosyncratic volatility and future returns around the firm … volatility is more strongly negative compared to news idiosyncratic volatility. Such findings imply that limited arbitrage cannot … fully explain the negative pricing of idiosyncratic volatility in the Chinese stock market. These results are robust after …