Nguyen, Pascal; Ben Zaied, Younes; Pham, Thu Phuong - In: The Journal of Risk Finance 20 (2019) 4, pp. 313-329
Purpose: This paper aims to investigate whether idiosyncratic volatility is a priced risk factor in the Australian stock market. Design/methodology/approach: The authors use the change in idiosyncratic volatility around acquisition announcements and the related stock price revaluation to test...