idiosyncratic volatility. As we document the persistence of momentum profits amongst stocks with high idiosyncratic volatility, our …This paper examines the interaction between short-run return reversals, momentum and idiosyncratic volatility in the … Australian market. We confirm that stocks with high idiosyncratic volatility earn low average returns over the next month. Unlike …

preferences affect future spot price volatility. Consistent with our expectation, we find that preferences for lotteries by call … option traders directly affect future volatility in the underlying asset …

We document a significant positive relation between earnings announcement idiosyncratic volatility and stock returns in … with the highest earnings announcement idiosyncratic volatility and stocks with the lowest earnings announcement … idiosyncratic volatility exceeds 100 basis points in the 10 days leading up to the earnings announcements. The pricing of earnings …

being raised about the ability of low-volatility portfolios to continue to deliver robust performance. We quantify this … yield curve. More specifically, we evaluate the implications from the low-volatility screening on the portfolio's industrial …, we propose a method to control the low-volatility exposure to changes in interest rates, which should be of interest to …

the dynamic spillover of return and volatility between oil and equities in the Gulf Cooperation Council Countries during … the period 2004 to 2012. Our results indicate that return and volatility transmissions are bi-directional, albeit …

The purpose of this paper is to investigate the relationship between the share price volatility in Pakistan and their … regress these ratios together with other control variables. We model share price volatility as a function of dividend policy … Karachi stock exchange. The variables involved in the study were Dividend yield, Price volatility Earning Volatility, Payout …

linkages and fundamental forces driving return volatility in the SAARC (South Asian Association for Regional Cooperation … these South Asian markets have positive autocorrelation. The equity markets of India, Pakistan, and Sri Lanka have some …) spillover effect on other markets in the sample. The stock markets of Bangladesh, India and Pakistan stock markets exhibit …

market volatility; and significantly and positively with the RNS of the market index; and most of the variation in individual … RNS. Second, we find that higher a firm's own volatility, the more negative the RNS, a relationship that is in the same … direction as for overall market volatility. Third, greater market liquidity is associated with more negative RNS, but the …