This study assesses whether the widely documented momentum profits can be attributed to time-varying risk as described by a GJR-GARCH(1,1)-M model. We reveal that momentum profits are a compensation for time-varying unsystematic risks, which are common to the winner and loser stocks but affect...

We examine the impact of default risk on the market skewness risk effect that stocks with low market skewness risk outperform stocks with high risk documented in the previous literature. We find that the effect is strong among large, growth, and low default risk stocks, but vanishes among small,...

This paper examines whether the negative relation between idiosyncratic volatility and expected returns is due to stock return reversals as argued by Fu (2009) and Huang, Liu, Rhee and Zhang (2010). Controlling the return reversal effect, it shows that stocks with different past returns have...