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Transmission of stock returns and volatility : the case of Korea

Hahm, Sangmoon - 2003

Persistent link: https://www.econbiz.de/10001768276

Idiosyncratic volatility puzzle : the role of assets' interconnections

Panzica, Roberto Calogero - 2018 - This version: August 8, 2018

The paper investigates the determinants of the idiosyncratic volatility puzzle by allowing linkages across asset … based on Granger causality test have lower expected returns, not related to idiosyncratic volatility. Secondly, empirical … evidence indicates that stocks with higher idiosyncratic volatility have the lower exposition on the indegree risk factor. …

Persistent link: https://www.econbiz.de/10011893131

Essays on labor markets and empirical finance

Room, Tairi - 2004

Persistent link: https://www.econbiz.de/10003383783

Realized volatility, jump and beta : evidence from Canadian stock market

Gajurel, Dinesh; Chowdhury, Biplob - 2020

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Stock market overreaction and fundamental valuation : theory and empirical evidence

Külpmann, Mathias - 2002

Persistent link: https://www.econbiz.de/10001607573

Irrational exuberance reconsidered : the cross section of stock returns

Külpmann, Mathias - 2004 - 2. ed.

Persistent link: https://www.econbiz.de/10001755223

Expected Equity Returns Should Correlate with Idiosyncratic Risk

Bruno, Giovanni - 2018

market price of risk. We show empirically that a conditional CAPM that accounts for time variation in equity nonlinearity …

Persistent link: https://www.econbiz.de/10012910108

Volume and the Nonlinear Dynamics of Stock Returns

Hsu, Chiente - 1998

) Time varying volatility. (ii) Positive volume-volatility relation. (iii) Ambiguous volume-persistance relation. Finally …

Persistent link: https://www.econbiz.de/10013519390

Risk, Return, and Sentiment in a Virtual Asset Market

Montone, Maurizio; Zwinkels, Remco C. J. - 2021

The joint-hypothesis problem casts doubt on the results of market efficiency research. Specifically, it is hard to assess to what extent financial markets reflect economic fundamentals or mispricing. To address this issue, we study price formation in a large virtual asset market where...

Persistent link: https://www.econbiz.de/10013233921

Stock markets and real-time macroeconomic data

Hartmann, Daniel - 2007

Persistent link: https://www.econbiz.de/10003516924