returns exhibit conditional heavy tails even after volatility clustering effect has been accounted for; and ii) the NRIG …

examination of the relationship between momentum returns and idiosyncratic volatility (IVol) is conducted to determine whether …, stock price, and turnover to determine robustness. Finally, we investigate a time-series relationship between aggregate IVol …. The findings are robust after controlling for factors such as firm size, book-to-market ratio, and turnover. We confirm …

In this paper, the role of the reference-dependent preference in the relationship between idiosyncratic volatility and … a reference point for a definition of the loss and gains domain. As a consequence, the negative idiosyncratic volatility … domain, suggesting the important role of the reference-dependent preference in the idiosyncratic volatility puzzle …