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The role of reference-dependent preferences in the idiosyncratic volatility puzzle : evidence from Korea
Le Thi Minh Hang; Hoang Van Hai; Nguyen Truong Son - In: Cogent economics & finance 8 (2020) 1, pp. 1-15
In this paper, the role of the reference-dependent preference in the relationship between idiosyncratic volatility and … a reference point for a definition of the loss and gains domain. As a consequence, the negative idiosyncratic volatility … domain, suggesting the important role of the reference-dependent preference in the idiosyncratic volatility puzzle …
Persistent link: https://www.econbiz.de/10013179662
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Political news and stock market reactions : evidence from Turkey over the period 2008-2017
Karime, Sleiman; Sayilir, Özlem - In: International journal of management and economics 55 (2019) 2, pp. 83-98
volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main … nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …]-type models) were used to model and estimate BIST-100 volatility in response to political news. The findings of the paper …
Persistent link: https://www.econbiz.de/10012131511
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Can Implied Volatility Comovements Capture More Than Volatility Risk? Evidence from Insider Trades and Aggregate Equity Returns
Bushman, Robert M. - 2019
The prevailing view of implied volatility comovements, IVC, defined as the correlation between a firm's implied … volatility and the market's implied volatility, is that they indicate the presence of systematic volatility risk to the firm …'s investors. We take a different stance and conjecture that implied volatility comovements can also indicate expected information …
Persistent link: https://www.econbiz.de/10012900702
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Abnormal returns and idiosyncratic volatility puzzle : an empirical investigation in Vietnam stock market
Xuan Vinh Vo; Van Phong Vo; Thanh Phuc Nguyen - In: Cogent economics & finance 8 (2020) 1, pp. 1-25
This paper aims to examine the relation between idiosyncratic volatility (IVOL) and stock returns with full-sample and …
Persistent link: https://www.econbiz.de/10012219258
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The Short-Duration Premium in the Stock Market : Risk or Mispricing?
Beckmeyer, Heiner; Meyerhof, Paul - 2022
We examine the short-duration premium using pre-scheduled economic, monetary policy, and earnings announcements. We provide high-frequency evidence that duration premia associated with revisions of economic growth and interest rate expectations are consistent with asset pricing models but cannot...
Persistent link: https://www.econbiz.de/10013405417
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Climate Sin Stocks : stock price reactions to global climate strikes
Stefano, Ramelli; Elisa, Ossola; Michela, Rancan - 2020
The first Global Climate Strike on March 15, 2019 has represented a historical turn in climate activism. We investigate the cross-section of European stock price reactions to this event. Looking at a large sample of European firms, we find that the unanticipated success of this event caused a...
Persistent link: https://www.econbiz.de/10012299288
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Expectation dispersion, uncertainty, and the reaction to news
Born, Benjamin; Dovern, Jonas; Enders, Zeno - 2020
Releases of key macroeconomic indicators are closely watched by financial markets. We investigate the role of expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of the financial market response to news decreases with the...
Persistent link: https://www.econbiz.de/10012404549
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Expectation dispersion, uncertainty, and the reaction to news
Born, Benjamin; Dovern, Jonas; Enders, Zeno - 2020
Releases of key macroeconomic indicators are closely watched by financial markets. We investigate the role of expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of the financial market response to news decreases with the...
Persistent link: https://www.econbiz.de/10012404647
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When Does Idiosyncratic Risk Really Matter?
Ruan, Tony - 2010
In contrast to the current literature, we provide new evidence supporting a positive relation between idiosyncratic risk and the expected future market return. Since a large part of the idiosyncratic risk can be diversified away easily, the conventional aggregate idiosyncratic risk measures can...
Persistent link: https://www.econbiz.de/10013147347
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Impact of crude oil price uncertainty on indian stock market returns : evidence from oil price volatility index
Sreenu, Nenavath - In: Energy strategy reviews 44 (2022), pp. 1-9
The oil price volatility index (OPVI) is a direct and more accurate measure of oil price uncertainty. The significance … of the crude oil prices volatility index is used in this paper to examine the effects of crude oil uncertainty on the … (−) fluctuations of the crude oil price volatility index (OPVI). Moreover, the paper measure whether the reform of 2012 stimulated the …
Persistent link: https://www.econbiz.de/10014515073