The relation between idiosyncratic risk and stock returns is currently a topic of debate in the academic literature. So … idiosyncratic risk and stock returns in the Indian stock market employing quantile regressions. Using quantile regressions, this … idiosyncratic volatility and stock returns is parabolic. The high idiosyncratic risk is associated with high (low) excess returns at …

Despite the debate on the pricing of idiosyncratic risk, it is generally believed that the pricing effect is likely to … risk of larger stocks more than that of small stocks in their portfolio. Recognizing this important difference on the … impact of idiosyncratic risk, we take an unorthodox approach by focusing on the effect of idiosyncratic risk within different …

In this study, I develop a novel methodology to extract crash risk premia from options and stock markets. I document a … dramatic increase in crash risk premia after the 2008/2009 nancial crisis, indicating that investors are willing to pay high … financial and industrial sectors. At the same time, crash risk premia on the market index remained at pre-crisis levels. I …

This paper studies the long-run risk embedded in the news about future investment-specific technology (IST). The IST …-run consumption risk hypothesis, we find that the IST news shock carries a significantly positive risk premium in the cross section of …

pricing in which demand shocks play a central role. These shocks give rise to valuation risk that allows the model to account …

Traditional finance theory posits that the relationship between the risk and return of stocks is positive. Furthermore … stocks earn higher (lower) returns. However, this fundamental return and risk relationship is questioned by a several … of the stock return-risk relationship using both market- and firm-level data. The results of this research are mixed. The …

on cost of equity capital, idiosyncratic risk, stock price crash risk, turnover rate by using annual panel data. The main … results are as follows. Implementing shareholder perks reduces cost of capital, volatility, and idiosyncratic risk, while … implementation of perks results in increase in individual stock price crash risk. The results mean that an increase in small …