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Idiosyncratic risk puzzle and its pricing : do firm characteristics matter? Evidence of BRICS countries
Kausar, Saba; Rashid, Abdul; Shah, Zulfiqar Ali - In: Borsa Istanbul Review 23 (2023) 1, pp. 149-168
This paper examines the relationship between idiosyncratic risk and stock returns in BRICS (Brazil, Russia, India, China, and South Africa) countries by applying parametric and nonparametric approaches. It also explores the idiosyncratic risk puzzle by dividing firms into groups based on...
Persistent link: https://www.econbiz.de/10014307488
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Cross-sectional reversal of intraday returns and investor heterogeneity in an emerging market
Chu, Xiaojun; Song, Shuang - In: Borsa Istanbul Review 23 (2023) 3, pp. 614-627
In this paper, we confirm cross-sectional reversals in intraday returns in China's A-share market. Intraday reversals are shown to be robust with respect to seasonality, alternative samples, and the daily price-limit rule. To investigate the potential drivers, trade volumes and order imbalances...
Persistent link: https://www.econbiz.de/10014308779
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Idiosyncratic volatility and stock returns : Indian evidence
Aziz, Tariq; Ansari, Valeed Ahmad - In: Cogent economics & finance 5 (2017) 1, pp. 1-20
This paper examines the idiosyncratic volatility (IV) puzzle in the Indian stock market for the period 1999 … volatility and future stock returns. However, this relation is sensitive to the choices of portfolio weighting schemes, types of …
Persistent link: https://www.econbiz.de/10011887525
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Cross-sectional returns with volatility regimes from a diverse portfolio of emerging and developed equity indices
Sakowski, Paweł; Ślepaczuk, Robert; Wywiał, Mateusz - In: E-Finanse : finansowy kwartalnik internetowy 12 (2016) 2, pp. 23-35
. Proposed extensions include a volatility regime switching mechanism (using dummy variables and the Markov approach) and the … fifth risk factor based on realized volatility of index returns. Moreover, instead of using data for stocks of a particular …
Persistent link: https://www.econbiz.de/10011539896
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Size, Value, and Momentum in Emerging Market Stock Returns : Integrated or Segmented Pricing?
Hanauer, Matthias X. - 2015
In this paper, we examine size, value, and momentum patterns in the stock returns of four emerging market regions - Latin America, EMEA, Asia, and BRIC. We document a strong and highly significant value effect, and a strong but less significant momentum effect. Substantial value and momentum...
Persistent link: https://www.econbiz.de/10013034756
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Aggregate Earnings and Expected Stock Returns in Emerging Markets
Demirtas, K. Ozgur - 2012
This paper examines the time-series predictability of aggregate stock returns in 20 emerging markets. In contrast to the aggregate-level findings in US, earnings yield forecasts the time-series of aggregate stock returns in emerging markets. We consider aggregate earnings not as normalizing...
Persistent link: https://www.econbiz.de/10013115711
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Cross-sectional returns predictability for emerging market banks : a study on Indian banking system
Mohapatra, Sabyasachi; Misra, Arun Kumar - In: Cogent economics & finance 7 (2019) 1, pp. 1-17
Using Indian bank-level data, we examine the cross-sectional returns predictability for banking stocks in view of the distinct industry parameters prevalent in the financial services space. We find the existence of abnormal returns in banking stocks. We also observe that the celebrated...
Persistent link: https://www.econbiz.de/10012023368
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When Bad News is Good News : Geopolitical Risk and the Cross-Section of Emerging Market Stock Returns
Zaremba, Adam; Cakici, Nusret; Demir, Ender - 2020
Using a news-based gauge of geopolitical risk, we study its role for asset pricing in global emerging markets. We find that changes in risk positively predict future stock returns. The countries with the highest increase in geopolitical uncertainty outperform their counterparts with the lowest...
Persistent link: https://www.econbiz.de/10014352071
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A note on the impact of portfolio overlapping in tests of the Fama and French three-factor model
Wallmeier, Martin; Tauscher, Kathrin - 2012 - First draft, Oct. 2012
In the three-factor model of Fama and French (1993), portfolio returns are explained by the factors Small Minus Big (SMB and High Minus Low (HML) which capture returns related to firm capitalization (size) and the book-to-market ratio (B/M). In the standard approach of the model, both the test...
Persistent link: https://www.econbiz.de/10009664476
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Is Idiosyncratic Volatility Really Priced?
Bergbrant, Mikael C. - 2011
idiosyncratic risk and finds a strong positive relation between expected idiosyncratic volatility and returns, suggesting missing … systematic risk factors or inefficient markets. We document that this positive relation between idiosyncratic volatility and … returns only exists for small firms which are difficult to arbitrage. The relation between idiosyncratic volatility and …
Persistent link: https://www.econbiz.de/10013128511