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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

Quantile risk-return trade-off

Aslanidis, Nektarios; Christiansen, Charlotte; Savva, … - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-14

We investigate the risk-return trade-off on the US and European stock markets. We investigate the non-linear risk-return trade-off with a special eye to the tails of the stock returns using quantile regressions. We first consider the US stock market portfolio. We find that the risk-return...

Persistent link: https://www.econbiz.de/10012587977

Risk and Return in the Chinese Stock Market : Does Equity Return Dispersion Proxy Risk?

Chen, Chun-Da - 2015

even after controlling for market, size, book-to-market, and idiosyncratic volatility effects. We observe that stocks with …

Persistent link: https://www.econbiz.de/10013023627

Paper profits from value, size and momentum : Evidence from the Polish market

Zaremba, Adam; Konieczka, Przemysław - In: E-Finanse : finansowy kwartalnik internetowy 11 (2015) 3, pp. 58-69

factor premiums are present after accounting for liquidity constraints. Fourth, we check whether the factor premiums are …, but they disappear after accounting for transaction costs and liquidity. …

Persistent link: https://www.econbiz.de/10011455379

Does market irrationality in the media affect stock returns?

Gibson, Rajna; Hemmens, Christopher; Trépanier, Mathieu - 2015

on subsequent stock market returns and exacerbates stock market volatility. Furthermore, stocks with large, negative …

Persistent link: https://www.econbiz.de/10011412095

Long-Term Stock Returns in Brazil : Volatile Equity Returns for U.S.-Like Investors

Araújo, Eurilton - 2020

volatility discourages heavier investments in stocks …

Persistent link: https://www.econbiz.de/10012831921

Abnormal returns and idiosyncratic volatility puzzle : an empirical investigation in Vietnam stock market

Vo Xuan Vinh; Van Phong Vo; Thanh Phuc Nguyen - In: Cogent economics & finance 8 (2020) 1, pp. 1-25

This paper aims to examine the relation between idiosyncratic volatility (IVOL) and stock returns with full-sample and … residuals estimated from regression based on capital asset pricing model (CAPM), Fama-French three-factor model and Carhart four …

Persistent link: https://www.econbiz.de/10012219258

Market Volatility, Liquidity Shocks, and Stock Returns : Worldwide Evidence

Ma, Rui - 2018

We examine the interaction between market volatility, liquidity shocks, and stock returns in 41 countries over the … period 1990–2015. We find liquidity is an important channel through which market volatility affects stock returns in … international markets and we show this is distinct from the direct volatility–return relation. The influence of the liquidity …

Persistent link: https://www.econbiz.de/10012932170

Momentum Crashes and Variations to Market Liquidity

Butt, Hilal Anwar - 2019

We document that the variation in market liquidity is an important determinant of momentum crashes that is independent … sensitivity of short-leg of momentum portfolio to changes in market liquidity that flares the tail risk of momentum strategy in … such that the contemporaneous increase in market liquidity predominantly sums up the trademark negative relationship …

Persistent link: https://www.econbiz.de/10012895183

Nexus between stock returns, funding liquidity and COVID-19

Marozva, Godfrey; Magwedere, Margaret Rutendo - In: Spoudai : journal of economics and business 71 (2021) 3/4, pp. 86-100

funding liquidity, stock returns and COVID-19 pandemic is examined using the fixed effects model. Results show that funding … liquidity and the COVID-19 pandemic interacts positively with stock market returns. The findings were irrational to the … the negative impact of the witnessed spike in COVID-19 cases. The revelation that funding liquidity contrary to theory …

Persistent link: https://www.econbiz.de/10013169366