study demonstrates that idiosyncratic volatility and stock returns relation is quantile dependent. The relation between … idiosyncratic volatility and stock returns is parabolic. The high idiosyncratic risk is associated with high (low) excess returns at … idiosyncratic volatility and the stock returns relation in the literature …

This paper examines the stock market returns and volatility relationship using US daily returns from May 26, 1952 to … September 29, 2006. The empirical evidence reported here does not support the proposition that the return-volatility …

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

The effect of investor sentiment on stock volatility is a highly attractive research question in both the academic … indicators. In addition, we divide the realized volatility into continuous and jump parts, and then investigate the effects of … trading (VPIN), on the path of investor sentiment affecting stock volatility. It is evidenced that investor sentiments are …

analyzed the effect that stock returns, volatility, and sentiment have on corporate bond volatility using the EGARCH(1,1) model … COVID-19 pandemic. The results of this study suggested significant impacts of stock returns, volatility, and sentiment on … corporate bond volatility, although the degree of influence of these three factors changed throughout the studied period …

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