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The limits to arbitrage and the low-volatility anomaly

Li, Xi; Sullivan, Rodney N.; Garcia-Feijóo, Luis - In: Financial analysts' journal : FAJ 70 (2014) 1, pp. 52-63

Persistent link: https://www.econbiz.de/10010253409

Equity anomalies and idiosyncratic risk around the world

Fan, Steve; Opsal, Scott; Yu, Linda - In: Multinational finance journal : MF ; quarterly … 19 (2015) 1/2, pp. 33-75

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Retail investors and the idiosyncratic volatility puzzle : evidence from the Korean stock market

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The Limits to Arbitrage and the Low-Volatility Anomaly

Li, Xi - 2014

We show that over a long study period (1963-2010), the existence and trading efficacy of the well-known low-volatility … findings are unchanged for various approaches to measuring the low-volatility anomaly …

Persistent link: https://www.econbiz.de/10013068787

An empirical study on dynamic association among gold market, crude oil market and stock market returns in India

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Limits of arbitrage and idiosyncratic volatility : evidence from China stock market

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Persistent link: https://www.econbiz.de/10011962481

Is the idiosyncratic volatility anomaly driven by the MAX or MIN effect? : evidence from the Chinese stock market

Wan, Xiaoyuan - In: International review of economics & finance : IREF 53 (2018), pp. 1-15

Persistent link: https://www.econbiz.de/10011791689

Aggregate implied volatility spread and stock market returns

Han, Bing; Li, Gang - 2017 - Current Version: September 2017

Aggregate implied volatility spread (IVS), defined as the cross-sectional average difference in the implied …

Persistent link: https://www.econbiz.de/10011897782

On the time-varying dynamics of stock and commodity momentum returns

Stadtmüller, Immo; Auer, Benjamin R.; Schuhmacher, Frank - In: Finance research letters 46 (2022) 2, pp. 1-10

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US cross-listing and domestic high-frequency trading : evidence from Canadian stocks

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