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The Pricing of Idiosyncratic Volatility : An Australian Study

Liu, Bin - 2016

This study examines the importance of idiosyncratic volatility in asset pricing for Australian stock returns from January 2002 to December 2010. Inspired by work from the early 1990s which found that portfolios constructed to mimic common risk factors explained significant variations in US stock...

Persistent link: https://www.econbiz.de/10012993016

The determinants of the COVID-19 related stock price overreaction and volatility

Sun, Yiyang Val; Liu, Bin; Prodromou, Tina - In: Studies in economics and finance 39 (2022) 1, pp. 125-149

Persistent link: https://www.econbiz.de/10012798504

Public information content and market information efficiency : a comparison between China and the U.S.

Liu, Bin; Xia, XiangYang; Xiao, Wen - In: China economic review : an international journal 60 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012604772

The pricing of idiosyncratic volatility : an Australian study

Liu, Bin; Di Iorio, Amalia - In: Australian journal of management 41 (2016) 2, pp. 353-375

Persistent link: https://www.econbiz.de/10011577340

CEO's managerial power, board committee memberships and idiosyncratic volatility

Tan, Monica; Liu, Bin - In: International review of financial analysis 48 (2016), pp. 21-30

Persistent link: https://www.econbiz.de/10011624350

Does idiosyncratic volatility predict future growth of the Australian economy?

Liu, Bin; Di Iorio, Amalia - In: Studies in economics and finance 33 (2016) 1, pp. 69-90

Persistent link: https://www.econbiz.de/10011718726

Equity fund performance : can momentum be explained by the pricing of idiosyncratic volatility?

Liu, Bin; Di Iorio, Amalia; De Silva, Ashton - In: Studies in economics and finance 33 (2016) 3, pp. 359-376

Persistent link: https://www.econbiz.de/10011722529

Reinvestigate the bid-ask bounce effect and pricing of idiosyncratic volatility : the case of the Australian market

Liu, Bin; Tan, Monica; Cam, Marie-Anne - In: Review of Pacific Basin financial markets and policies 22 (2019) 1, pp. 1950004-1-1950004-23

Persistent link: https://www.econbiz.de/10012156144

On spillover effects between cryptocurrency-linked stocks and the cryptocurrency market : evidence from Australia

Frankovic, Jozo; Liu, Bin; Suardi, Sandy - In: Global finance journal 54 (2022), pp. 1-14

Persistent link: https://www.econbiz.de/10013470113

Does pension fund ownership reduce market manipulation? : evidence from China

Zhu, Xingting; Ma, Xiang; Rehman, Faheem; Liu, Bin - In: The North American journal of economics and finance : a … 69 (2024) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10014445524