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

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 …

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 …

This study finds that stock return volatility is higher during periods of high tax policy uncertainty (TPU), even after … return volatility is more pronounced where firms are characterized by greater variability in tax outcomes. We adopt a broad … participants. We also document that the effects of TPU are concentrated in systematic volatility. Overall our results suggest that …

volatility increases. The better-than-expected performance arises because unprofitable firms are distressed and volatile, their … equity resembles a call option on the assets, and call options value increases with volatility, all else fixed. Consistent … with this hypothesis, the profitability anomaly is stronger for distressed and volatile firms, and aggregate volatility …

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 …

This study examines the relationship between excess return volatility and economic policy uncertainty in U.S using … return volatility and economic policy uncertainty. The casualty test indicates that economic policy uncertainty Granger …-causes excess return volatility. The vector error correction model result shows that previous values of economic policy uncertainty …

The idiosyncratic volatility anomaly, as first documented in Ang, Hodrick, Xing, and Zhang (2006), has received … provide evidence towards distinguishing potential explanations. Our results show that the idiosyncratic volatility anomaly is … addition, we show that the idiosyncratic volatility anomaly is not due to the market microstructure effect and cannot be …

We find that the idiosyncratic volatility (IVOL) puzzle exists only among firms that under-perform their benchmark or …