We find a positive and significant relation between forecasted idiosyncratic volatility andreturns in a large … empirical results reveal substantialcross-country variation in the magnitude of the idiosyncratic risk premiums. Consistentwith … classic asset pricing theory (e.g., Markowitz, 1959; Merton, 1987), we find thatidiosyncratic risk premiums are positively …

Stocks with increases in idiosyncratic risk tend to earn low subsequent returns for a few months. However, high … idiosyncratic risk stocks eventually earn persistently high returns. These results are consistent with positively priced … idiosyncratic risk and temporary underreaction to idiosyncratic risk innovations. Because risk levels and innovations are correlated …

, to February 12, 2021, this study documents a strong positive comovement between implied volatility indices and two … proxies of the COVID-19 fear. However, in all the cases, the infectious disease equity market volatility index (IDEMVI), the … COVID-19 proxy that is more representative of the stock market, exhibits a stronger positive comovement with volatility …

, stock market volatility, and geopolitical risks. In particular, our aim is to determine whether these forms of uncertainty … volatility, which impact negatively in share prices, both in the short and long term. Regarding Brazil, the global uncertainty in …

world and other sectors, depending on market states. On the other hand, oil market volatility (OVX) adversely affects all …Our study extends the existing literature by exploring the impact of three major risk and uncertainty indices on the … Dow Jones Islamic Market (DJIM) World and the ten major sectoral Islamic equity indices. We also look at whether the …