Empirical evidences regarding the association of idiosyncratic volatility and stock returns are inconsistent with the Capital Asset Pricing Model (CAPM), which implies that idiosyncratic risk should not be priced because it would be fully eliminated through diversification. Using Exponential...

This article examines the interaction between order imbalance, stock returns, volatility and volume dynamics during Asian financial crisis using intraday data of 418 stocks traded on the Stock Exchange of Thailand (SET) from January 1996 to October 2003. The inverse relationship between the past...

We consider the frequency and correlation of extreme return observations or “jumps” across equities, Treasury bonds, corporate bonds, currencies, commodities, and real estate. Understanding more about jumps is important to investors as diversification across asset classes is diminished if...

We investigate whether momentum or reversal is the dominant phenomenon in short horizon (one- to four-week) foreign exchange rate returns. We find, based on a broad sample of 63 emerging and developed market currencies, evidence of momentum rather than reversal. Momentum returns are as large as...

We decompose the non-diversifiable market risk into continuous and discontinuous components and jump systematic risks into positive vs. negative and small vs. large components. We examine their association with equity risk premia across major equity markets. We show that developed markets jumps...