Aziz, Tariq; Ansari, Valeed Ahmad - In: Cogent Economics & Finance 5 (2017) 1, pp. 1-20
This paper examines the idiosyncratic volatility (IV) puzzle in the Indian stock market for the period 1999-2014. Univariate and bivariate sorting, as well as cross-section regressions, suggest a positive relation between idiosyncratic volatility and future stock returns. However, this relation...