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 … examine whether the momentum effect is persistent in stocks with high idiosyncratic volatility. We find that stocks with high …

We explore the impact of delisting on the performance of the momentum trading strategy in Australia. We employ a new … large stocks are less exposed to liquidity risks, the momentum effect in Australia is even more puzzling than in the U.S …

This study investigates the effect on stock return volatility of a significant event in the life of a firm, a change in …. Secondly, we use short-term stock return volatility as a more accurate estimator to isolate the effect of a single disclosure …. We find strong evidence that the level of stock return volatility increases following announcements of CEO departures …