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Portfolio Volatility of Islamic and Conventional Stock : The Case of Indonesia Stock Market

Herwany, Aldrin - 2013

data will better reflect the real volatility. This study also measures volatility of both conventional and Islamic stocks …

Persistent link: https://www.econbiz.de/10013075496

The Idiosyncratic Momentum Anomaly

Blitz, David - 2020

This paper seeks to uncover the drivers of the idiosyncratic momentum anomaly. We show that: (I) idiosyncratic momentum is a distinct phenomenon that exists next to conventional momentum and is not explained by it; (ii) idiosyncratic momentum is priced in the cross-section of stock returns after...

Persistent link: https://www.econbiz.de/10012854431

The VIX is Your FIX : a Flexible Strategy to Timing the Stock Market

Bonaparte, Yosef - 2020

We use the VIX and basic trading behavior to time entry and exit from the market. Our strategy captures 89% of the bottom and 91% from the top (you miss only 11% and 9% from the peak point, respectively). We lay our strategy down in six acts. Act I: the daily average return in the stock market...

Persistent link: https://www.econbiz.de/10012829277

Long-Term Stock Returns in Brazil : Volatile Equity Returns for U.S.-Like Investors

Araújo, Eurilton - 2020

volatility discourages heavier investments in stocks …

Persistent link: https://www.econbiz.de/10012831921

Expected Equity Returns Should Correlate with Idiosyncratic Risk

Bruno, Giovanni - 2018

Because levered equity is an option on the firm, variations in asset idiosyncratic risk (ivol) induces a negative relationship between equity ivol and expected returns. We show that the effect is caused by the nonlinear payoff of equity and the law of one price, and is present in all but...

Persistent link: https://www.econbiz.de/10012910108

Investigating the sources of Black's leverage effect in oil and gas stocks

Sanusi, Muhammad Surajo - In: Cogent economics & finance 5 (2017) 1, pp. 1-13

volatility in the future. The paper is aimed at investigating the authenticity of the Black’s leverage effect hypothesis and the …

Persistent link: https://www.econbiz.de/10011878421

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

What is the impact of stock market contagion on an investor's portfolio choice?

Branger, Nicole; Kraft, Holger; Meinerding, Christoph - 2009

Stocks are exposed to the risk of sudden downward jumps. Additionally, a crash in one stock (or index) can increase the risk of crashes in other stocks (or indices). Our paper explicitly takes this contagion risk into account and studies its impact on the portfolio decision of a CRRA investor...

Persistent link: https://www.econbiz.de/10009764762

Momentum Crash, Credit Risk and Optionality Effects in Bear Markets and Crisis Periods : Evidence from the US Stock Market

Grobys, Klaus - 2016

This study explores whether the credit risk anomaly exhibits option-like behavior similar to the momentum anomaly. Employing a market-timing regression model as in Daniel and Moskowitz (2013), it finds that the inverted credit risk spread indeed displays option-like behavior in bear market...

Persistent link: https://www.econbiz.de/10012996318

Low Volatility Asset Valuation in Brazilian Stock Market : Lower Risk with Higher Returns

Boudjoukian França, Luciano; Avelar, Mario; Teles, Pedro - 2023

This work evaluates the behavior of portfolios comprised of Brazilian stocks ranked by their volatility to investigate … the low volatility anomaly.Between January 2003 and December 2021, the low volatility portfolio presented a 6% annual … return above the high volatility portfolio. This result is aligned with the observation made by Blitz and Van Vliet (2007) in …

Persistent link: https://www.econbiz.de/10014349977

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