Narrow search
Showing 1 - 10 of 19,796
Cover Image
Idiosyncratic risk puzzle and its pricing : do firm characteristics matter? Evidence of BRICS countries
Kausar, Saba; Rashid, Abdul; Shah, Zulfiqar Ali - In: Borsa Istanbul Review 23 (2023) 1, pp. 149-168
This paper examines the relationship between idiosyncratic risk and stock returns in BRICS (Brazil, Russia, India, China, and South Africa) countries by applying parametric and nonparametric approaches. It also explores the idiosyncratic risk puzzle by dividing firms into groups based on...
Persistent link: https://www.econbiz.de/10014307488
Cover Image
Measuring High-Frequency Causality between Returns, Realized Volatility and Implied Volatility
Dufour, Jean-Marie - 2011
leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and … implied volatility, and find that implied volatilities are essential for assessing the volatility feedback effect. The … leverage hypothesis asserts that return shocks lead to changes in conditional volatility, while the volatility feedback effect …
Persistent link: https://www.econbiz.de/10013128856
Cover Image
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
Cover Image
Extreme returns and idiosyncratic risks : evidence from an emerging market
Cho, Eunyoung - In: Journal of derivatives and quantitative studies 29 (2021) 1, pp. 29-48
In this paper, we show that there is a negative premium for MAX stocks in the Korean stock market. However, there is no evidence that the MAX effect overwhelms the effects of idiosyncratic risk. When we control for idiosyncratic risk, the negative relationship between extreme returns and future...
Persistent link: https://www.econbiz.de/10012592789
Cover Image
An examination of short-run performance of IPOs using Extreme Bounds Analysis
Mumtaz, Muhammad Zubair; Smith, Zachary A.; Ahmed, … - In: Estudios de economía 43 (2016) 1, pp. 71-95
This paper estimates the short-run performance of IPOs issued on the Karachi Stock Exchange in Pakistan. The present study extends the existing literature concentrating on the degree of underpricing over a 3-month period lasting from the listing date to the 3-month anniversary showing...
Persistent link: https://www.econbiz.de/10011504407
Cover Image
Are Hospitality Industry IPO Stock Returns Predictable?
Borghesi, Richard - 2015
We examine the post-IPO excess stock returns of hospitality firms from 1996 to 2012 and find underperformance relative to the market on average. However, there are large differences in returns and some firms significantly outperform. We demonstrate that a substantial portion of this variation...
Persistent link: https://www.econbiz.de/10013032384
Cover Image
Time-Varying Relationship of News Sentiment, Implied Volatility and Stock Returns
Smales, Lee A. - 2016
volatility index (VIX). I find a significant negative contemporaneous relationship between changes in VIX and both news sentiment … between previous and current period changes in implied volatility and stock returns, while current period and lagged news … strategy whereby high (low) levels of implied volatility signal attractive opportunities to take long (short) positions in the …
Persistent link: https://www.econbiz.de/10013007790
Cover Image
The Impact of Credit Risk and Implied Volatility on Stock Returns
Steiger, Florian - 2010
, credit risk and implied volatility, have high explanatory power in regard to stock returns. Especially the returns of …
Persistent link: https://www.econbiz.de/10013141997
Cover Image
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
Cover Image
Climate Change Exposure and Stock Return Predictability
Xu, Jiangmin; Sun, Cheng; You, Yihui - 2021
This paper finds evidence that stock returns vary with the physical climate change exposure of firms in a predictable manner. We construct measures of exposures to physical climate changes at the firm level, and find that firms with high climate change exposures experience lower future...
Persistent link: https://www.econbiz.de/10013248340