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Abnormal returns and idiosyncratic volatility puzzle : evidence from the Chinese stock market

Qu, Zhengyang; Liu, Xiaotian; He, Shi - In: Emerging markets, finance & trade : a journal of the … 55 (2019) 5, pp. 1184-1198

Persistent link: https://www.econbiz.de/10012210689

Toxic chemical releases and idiosyncratic return volatility : a prospect theory perspective

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Prospect theory and risk appetite : an application to traders' strategies in the financial market

Cao, Shi-Nan; Deng, Jing; Li, Honggang - In: Journal of economic interaction and coordination : JEIC 5 (2010) 2, pp. 249-259

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Essays on asset pricing

Londoño-Yarce, Juan-Miguel - 2011

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High idiosyncratic volatility and low returns : a prospect theory explanation

Bhootra, Ajay; Hur, Jungshik - In: Financial management 44 (2015) 2, pp. 295-322

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High Idiosyncratic Volatility and Low Returns : A Prospect Theory Explanation

Bhootra, Ajay - 2014

The well-documented negative relationship between idiosyncratic volatility and stock returns is puzzling if investors are risk-averse. However, under prospect theory, while investors are risk-averse in the domain of gains, they exhibit risk-seeking behavior in the domain of losses. Consistent...

Persistent link: https://www.econbiz.de/10013068045