are markedly larger in liquid market states. This finding is not explained by variation in liquidity risk, time … volatility states. While momentum strategies are unconditionally unprofitable in US, Japan, and Eurozone countries in the last …

-importing countries. Apart from oil price direction, we also consider oil market volatility and liquidity. Analysis of daily returns … implied oil market volatility negatively affect stocks, this effect is significantly asymmetric, and declining oil market … liquidity predicts declining stock prices …

We examine the interaction between market volatility, liquidity shocks, and stock returns in 41 countries over the … period 1990–2015. We find liquidity is an important channel through which market volatility affects stock returns in … international markets and we show this is distinct from the direct volatility–return relation. The influence of the liquidity …

idiosyncratic volatility and expected returns for developed markets. This relationship has not been studied to date for emerging … markets. This study relates the current-month's idiosyncratic volatility to the subsequent month's returns for a sample of … both developed and emerging markets expanding benchmark factors by including both a momentum and a systematic liquidity …

idiosyncratic volatility and expected returns for developed markets. This relationship has not been studied to date for emerging … markets. This study relates the current-month's idiosyncratic volatility to the subsequent month's stock returns for a sample … liquidity risk component. Using a five-factor model, the results suggest that idiosyncratic risk does not play a role on stock …

This paper considers liquidity as an explanation for the positive association between expected idiosyncratic volatility … (IV) and expected stock returns. Liquidity costs may affect the stock returns, through bid-ask bounce and other … that this premium is driven by liquidity in the prior month after correcting returns for microstructure noise. The pricing …

realistic dynamics of riskneutral and realized volatilities. I provide evidence that the jump risk in volatility of long run … of the VIX or realized stock volatility. In contrast, a jump-in-volatility LRR model generates a smaller variance risk … premium but better fits the VIX and the realized stock volatility dynamics. Finally, jump-in-volatility models generate …