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Idiosyncratic volatility in the Australian equity market

Zhong, Angel - In: Pacific-Basin finance journal 50 (2018), pp. 105-125

Persistent link: https://www.econbiz.de/10012033763

Patterns and pricing of idiosyncratic volatility in the French stock market

Liu, Zhentao; Nartea, Gilbert V.; Wu, Ji - In: Theoretical economics letters 8 (2018) 1, pp. 79-97

Persistent link: https://www.econbiz.de/10011842086

Stock prices and macroeconomic performance in Pakistan : an analysis

Mukhtar, Saima; Chaudhry, Imran Sharif; Bashir, Furrukh - In: Review of economics and development studies 1 (2015) 2, pp. 119-128

Persistent link: https://www.econbiz.de/10011925274

Idiosyncratic volatility and stock returns : Indian evidence

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 … volatility and future stock returns. However, this relation is sensitive to the choices of portfolio weighting schemes, types of …

Persistent link: https://www.econbiz.de/10011887525

A tale of two volatilities : Sectoral uncertainty, growth, and asset prices

Segal, Gill - In: Journal of financial economics 134 (2019) 1, pp. 110-140

Persistent link: https://www.econbiz.de/10012166756

Coherent-price systems and uncertainty-neutral valuation

Beißner, Patrick - In: Risks : open access journal 7 (2019) 3/98, pp. 1-18

extension of the paper by Ross (1976) (Ross, Stephen A. 1976. The arbitrage theory of capital asset pricing. Journal of Economic … Theory 13: 341–60). In the spirit of Harrison and Kreps (1979) (Harrison, J. Michael, and David M. Kreps. 1979. Martingales … and arbitrage in multiperiod securities markets. Journal of Economic Theory 20: 381–408), the paper establishes a micro …

Persistent link: https://www.econbiz.de/10012126423

Reinvestigate the bid-ask bounce effect and pricing of idiosyncratic volatility : the case of the Australian market

Liu, Bin; Tan, Monica; Cam, Marie-Anne - In: Review of Pacific Basin financial markets and policies 22 (2019) 1, pp. 1950004-1-1950004-23

Persistent link: https://www.econbiz.de/10012156144

Implied Volatility Duration : a measure for the timing of uncertainty resolution

Schlag, Christian; Thimme, Julian; Weber, Rüdiger - 2020 - This version: January 27, 2020

We introduce Implied Volatility Duration (IVD) as a new measure for the timing of uncertainty resolution, with a high …

Persistent link: https://www.econbiz.de/10012157194

Idiosyncratic volatility and the cross-section of anomaly returns : is risk your ally?

Zaremba, Adam; Maydybura, Alina - In: Applied economics 51 (2019) 49, pp. 5388-5397

Persistent link: https://www.econbiz.de/10012197236

The impact of global financial market uncertainty on the risk-return relation in the stock markets of G7 countries

Loudon, Geoffrey F. - In: Studies in economics and finance 34 (2017) 1, pp. 2-23

Persistent link: https://www.econbiz.de/10011740671