examination of the relationship between momentum returns and idiosyncratic volatility (IVol) is conducted to determine whether …

Previous research indicates that performance and volatility of small and regional stock markets can be influenced by … bubble, and a great recession which followed after. Significant volatility of SASE was noted in 2007 while later periods … suggest lesser volatility after a significant drop in index value in mid 2007. The data was analyzed in a side by side …

We establish a direct link between the idiosyncratic volatility (IVol) puzzle and the behavior of sophisticated and …

Empirical studies investigating the relation between expected idiosyncratic volatility (IVOL) and returns find mixed …

Prior research documents that volatility spreads predict stock returns. If the trading activity of informed investors … is an important driver of volatility spreads, then the predictability of stock returns should be more pronounced during … major information events. This paper investigates whether the predictability of equity returns by volatility spreads is …

We find that the idiosyncratic volatility (IVOL) puzzle exists only among firms that under-perform their benchmark or …

-trading volatility are predicted to have more crash risk, supporting the view of “arbitrage risk mechanism”. Furthermore, we find that … higher margin-trading volatility results in higher overpricing and less information content …

) The Volatility Puzzle. We offer resolutions of those objections within the rational finance. We do not claim that those …