In this study, we examine the effect of social capital on stock price crash risk. We find that firms headquartered in U ….S. counties with higher levels of social capital exhibit lower levels of future stock price crash risk. This finding is … causal effect of social capital on stock price crash risk. Additionally, we find that the influence of social capital on …

This paper investigates the role of volatility risk on stock return predictability specified on two global financial … volatility forecasting measures on future stock returns in four different periods (bear and bull markets). First we find clear … and robust empirical evidence that the implied idiosyncratic volatility is the best stock return predictor for every sub …

sensitivity of short-leg of momentum portfolio to changes in market liquidity that flares the tail risk of momentum strategy in … panic states. This identification explains the forecasting ability of known predictors of tail risk of momentum strategy …

-AGARCH) model to examine both return and volatility spillovers from the USA (developed) and China (Emerging) towards eight emerging … calculate the optimal weights and hedge ratios for the stock portfolios. Our results reveal that both return and volatility … volatility was transmitted from the USA to the majority of the Asian stock markets during the Chinese stock market crash …

This study uses the BEKK-GARCH model to examine the return-and-volatility spillover between the world-leading markets … during the global financial crisis and the crash of the Chinese stock market. Regarding volatility spillover, the results … show the bidirectional volatility transmission between the US and the stock markets of Chile and Mexico during the global …

investing: an adjusted momentum portfolio which hedges in real time for both volatility and skewness risk outperforms benchmark … both conditional volatility and skewness. This has first order implications for managing risks associated with momentum … constant and dynamic volatility-managed momentum strategies. This result holds for different levels of transaction costs and …

This paper investigates the relationship between liquidity and stock returns in the Vietnam stock market during …