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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 1999–2014. Univariate and bivariate sorting, as well as cross-section regressions, suggest a positive relation between idiosyncratic volatility and future stock returns. However, this...
Persistent link: https://www.econbiz.de/10011887525
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Idiosyncratic volatility, momentum, liquidity, and expected stock returns in developed and emerging markets
Switzer, Lorne N.; Picard, Alan - In: Multinational finance journal : MF ; quarterly … 19 (2015) 3/4, pp. 169-221
Persistent link: https://www.econbiz.de/10011434211
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Size, value, profitability, and investment : evidence from emerging markets
Leite, André Luis da Silva; Klotzle, Marcelo Cabus; … - In: Emerging markets review 36 (2018), pp. 45-59
Persistent link: https://www.econbiz.de/10012114837
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Extreme returns in emerging stock markets : evidence of a MAX effect in South Korea
Nartea, Gilbert V.; Wu, Ji; Liu, Hong Tao - In: Applied financial economics 24 (2014) 4/6, pp. 425-435
Persistent link: https://www.econbiz.de/10010401960
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Panel GARCH model with cross-sectional dependence between CEE emerging markets in trading day effects analysis
Arberić, Josip; Škrabić Perić, Blanka - In: Romanian journal of economic forecasting 21 (2018) 4, pp. 71-84
Persistent link: https://www.econbiz.de/10012021879
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Low-risk effect : evidence, explanations and approaches to enhancing the performance of low-risk investment strategies
Joshipura, Mayank; Joshipura, Nehal - In: Investment management and financial innovations 17 (2020) 2, pp. 128-145
Persistent link: https://www.econbiz.de/10012303103
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Isolating momentum crashes
Dierkes, Maik; Krupski, Jan - In: Journal of empirical finance 66 (2022), pp. 1-22
Persistent link: https://www.econbiz.de/10013370567
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An investigation of the beta anomaly in emerging markets : a South African case
Segojane, Mabekebeke; Ndlovu, Godfrey - In: Journal of risk and financial management : JRFM 15 (2022) 5, pp. 1-18
-sectional econometric techniques to analyze the risk-return relationship implied by the CAPM, using data that span over 5 years and 220 …
Persistent link: https://www.econbiz.de/10013273464
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How much does volatility influence stock market returns? : empirical evidence from india
Saraf, Malvika; Kayal, Parthajit - 2022
Persistent link: https://www.econbiz.de/10014226507
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Capital flows and asset prices: empirical evidence from emerging and developing economies
Taguchi, Hiroyuki; Sahoo, Pravakar; Nataraj, Geethanjali - In: International economics : a journal published by CEPII … 141 (2015), pp. 1-14
Persistent link: https://www.econbiz.de/10011539473