addition, conditional return volatility is significantly affected by lagged volatility rather than sentiment changes …

We examine the empirical relation between risk and return in emerging equity markets and find that this relation is …, but consistent with the results of studies for developed equity markets. The volatility effect appears to be growing …. Finally, we find that the volatility effect in emerging markets is only weakly related to that in developed equity markets …

The Capital Asset Pricing Model (CAPM) predicts a positive relation between risk and return, but empirical studies find … ‘volatility effect' that have been proposed in different streams of literature, and categorizes each explanation according to the … exogenous incentive structures or constraints, which may explain why the volatility effect has been so persistent over time. We …

We examine the empirical relation between risk and return in emerging equity markets and find that this relation is …, but consistent with the results of studies for developed equity markets. The volatility effect appears to be growing …. Finally, we find that the volatility effect in emerging markets is only weakly related to that in developed equity markets …

The Capital Asset Pricing Model (CAPM) predicts a positive relation between risk and return, but empirical studies find … ‘volatility effect' that have been proposed in different streams of literature, and categorizes each explanation according to the … exogenous incentive structures or constraints, which may explain why the volatility effect has been so persistent over time. We …

study trading quantitatives such as returns, traded volumes, volatility periodicity, and provide summary statistics of …

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