realized moments - realized volatility, realized skewness and realized kurtosis using high-frequency data. We find realized … skewness to have significant negative effect on future excess returns, on the contrary realized volatility and realized …

volatility in the future. The paper is aimed at investigating the authenticity of the Black’s leverage effect hypothesis and the … frameworks such as CAPM and its extensions are relevant in determining oil stock returns, the level of gearing is irrelevant …

allocation and risk management require estimates of the volatility of these factors. While realized volatility has become a … provide a statistical approach to estimate the volatility of these factors. The efficacy of this approach relative to the use … of models based on squared returns is demonstrated for forecasts of the market volatility and a portfolio allocation …

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 …

The paper investigates the determinants of the idiosyncratic volatility puzzle by allowing linkages across asset … based on Granger causality test have lower expected returns, not related to idiosyncratic volatility. Secondly, empirical … evidence indicates that stocks with higher idiosyncratic volatility have the lower exposition on the indegree risk factor. …

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

This paper examines long memory volatility in the cross-section of stock returns. We show that long memory volatility … capitalization, book-to-market ratio, prior performance and price jumps. Long memory volatility is negatively priced in the cross …-section. Buying stocks with shorter memory and selling stocks with longer memory in volatility generates significant excess returns of …