greatest impediment to market efficiency. We also find that the impact of idiosyncratic volatility on the Vo/P anomaly is more …

Although there is an extensive literature on the impact of volatility on asset returns correlation, investigating this … analysis between rolling correlation and volatility index (VIX). Results showed more impact of volatility on the midterm … study contributes to existing literature by comparing the volatility impact across a broad range of assets and multiple time …

We analyze the cross-sectional relation between expected idiosyncratic volatility and stock returns. The expected … idiosyncratic volatility is conditioned on macro-finance factors as well as traditional asset pricing factors. The macro … between expected idiosyncratic volatility and stock returns reverses to a positive one when accounting for the macro …

Our study provides further insights into the evidence of excess returns of low volatility enhanced portfolios. Based on …-adjusted basis. Analyzing a new data set from 2000 through 2015, we find that low volatility enhanced portfolios exhibit … extraordinary excess returns during stressed market conditions. Empirically, we find that enhancing portfolios with low volatility …

This paper examines the interaction between short-run return reversals, momentum and idiosyncratic volatility in the … Australian market. We confirm that stocks with high idiosyncratic volatility earn low average returns over the next month. Unlike … examine whether the momentum effect is persistent in stocks with high idiosyncratic volatility. We find that stocks with high …

exposure to changes in the price of the underlying stock (delta), and exposure to changes in implied volatility (vega) are …-known market, size, book-to-market, momentum, and short-term reversal factors. Additional volatility, stock, and option market …

idiosyncratic volatility and subsequent stock returns (the idiosyncratic volatility puzzle). We find that surprisingly many existing … puzzle in individual stocks and 78-84% of the puzzle in idiosyncratic volatility-sorted portfolios. Our methodology can be …