risk premia may accrue unevenly during the calendar year, and the pattern may be transferred to government bond prices. We … for the predicted component, linking the sources of the phenomenon with macroeconomic risk factors …

Stocks with increases in idiosyncratic risk tend to earn low subsequent returns for a few months. However, high … idiosyncratic risk stocks eventually earn persistently high returns. These results are consistent with positively priced … idiosyncratic risk and temporary underreaction to idiosyncratic risk innovations. Because risk levels and innovations are correlated …

We propose a new time-varying peaks over threshold model to study tail risk dynamics in equity markets: the laws of …-sorted decile stock portfolios and show that large firm tail risk increases during recessions more than small firms tail risk. Our … risk shocks on the economy. A measure of tail connectedness is proposed: evidence from international equity markets shows …

mainly driven by global tail risk rather than local tail risk. World fear is also priced in the crosssection of stock returns …We examine the pricing of tail risk in international stock markets. We find that the tail risk of different countries … is highly integrated. Introducing a new World Fear index, we find that local and global aggregate market returns are …

liquidity proxy variable, Chicago Board of Exchange's (CBOE) S&P 500 market volatility index (VIX), into the model. Variance …

intraday volatility dynamics in the Indian market. Modeling intraday volatility dynamics using FFF regressions, we examine the … volatility dynamics. We find that Indian stock market exhibits 'reverse J' shaped intraday volatility with much higher intraday … to small cap stocks. Higher volatility is also observed in the first one-hour of trade after weekends, in the first half …

Through this research, we find that the asymmetric volatility phenomenon is reversed in the Shanghai Stock Exchange … during bull markets. That is, volatility increases more with good news than with bad news. This evidence is inconsistent with … the US markets. Further examination of this phenomenon reveals that the positive impact of good news on volatility is …