One empirical argument that has been around for some time and that clearly contra- dicts equity market efficiency is … this, it is deduced that systematic pricing errors occur in equity markets which hence can not be efficient in the Effcient … Market Hypothesis sense. The paper tries to show that this so-called excess volatility is to a large extend the result of the …

occurrences are associated with high volatility and low limit hit occurrences are associated with low volatility …

imbalances leading to changes in stock returns. Through the estimation of a structural VAR model, positive oil demand shocks are …

country betas are time-varying and that currently, global factors are the dominant source of equity market volatility … this study, we examine Capital Asset Pricing Model (CAPM) in its international ontext (ICAPM) using the monthly equity …

incorporates stochastic volatility, long-run risks in consumption and dividends, and Epstein-Zin preferences. Utilizing Bayesian …

We examine the extent to which equity market returns volatility is affected by major macroeconomic announcements in an … macroeconomic announcements on the volatility of Indonesian equity market returns … volatility when we decompose the volatility on a monthly, daily, and subsample period basis. Furthermore, while we find that most …

spread of low versus high-volatility quintile portfolios is 25.53% in the Indian equity market for the period from January …The portfolio of low-volatility stocks earns high risk-adjusted returns over a full market cycle. The annual alpha … 2000 to September 2018. The low-volatility (LV) effect is not an overlap of other established factors such as size, value …

market volatility. A relatively high return dispersion predicts a deterioration in business conditions, a higher value …