idiosyncratic volatility and expected returns for developed markets. This relationship has not been studied to date for emerging … markets. This study relates the current-month's idiosyncratic volatility to the subsequent month's returns for a sample of … both developed and emerging markets expanding benchmark factors by including both a momentum and a systematic liquidity …

idiosyncratic volatility and expected returns for developed markets. This relationship has not been studied to date for emerging … markets. This study relates the current-month's idiosyncratic volatility to the subsequent month's stock returns for a sample … liquidity risk component. Using a five-factor model, the results suggest that idiosyncratic risk does not play a role on stock …

This paper considers liquidity as an explanation for the positive association between expected idiosyncratic volatility … (IV) and expected stock returns. Liquidity costs may affect the stock returns, through bid-ask bounce and other … that this premium is driven by liquidity in the prior month after correcting returns for microstructure noise. The pricing …

funding liquidity, stock returns and COVID-19 pandemic is examined using the fixed effects model. Results show that funding … liquidity and the COVID-19 pandemic interacts positively with stock market returns. The findings were irrational to the … the negative impact of the witnessed spike in COVID-19 cases. The revelation that funding liquidity contrary to theory …

This study examines the relative importance of liquidity risk for the time-series and cross-section of stock returns in … test of the Amihud (2002) measure and parametric and non-parametric methods to investigate whether liquidity risk is priced … yield a small distance error, other non-liquidity based models fail to yield economically plausible distance values. Our …

other hand, investors tend to underreact to idiosyncratic (il)liquidity. Hence, stocks with positive (negative …) idiosyncratic liquidity generate positive (negative) subsequent returns. More specifically, high-low idiosyncratic liquidity …-driven irrational investors are the main drivers of underreaction to idiosyncratic liquidity component …

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … liquidity (EDL) risks. The cross-section of stock returns reflects a premium if a stock's return (liquidity) is lowest at the … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or …

realistic dynamics of riskneutral and realized volatilities. I provide evidence that the jump risk in volatility of long run … of the VIX or realized stock volatility. In contrast, a jump-in-volatility LRR model generates a smaller variance risk … premium but better fits the VIX and the realized stock volatility dynamics. Finally, jump-in-volatility models generate …