Acquirer Size, Idiosyncratic Volatility and Abnormal Returns
Idiosyncratic volatility, Australian stock returns and economy conditions: role of idiosyncratic volatility in asset pricing for Australian stock markets
... an idiosyncratic volatility ...lowest idiosyncratic volatility portfolios have significant positive intercepts which indicate abnormal returns are only available on two extreme ...
39
An empirical analysis of idiosyncratic volatility and extreme returns in the Japanese Stock Market
... of volatility will yield abnormal returns to the ...investors. Returns are abnormal when they exceed what an investor would normally expect to earn from accepting a certain level of ...
221
A study of idiosyncratic volatility in mutual fund performance
... of idiosyncratic volatility, “Perfect Cor- relation Idiosyncratic Volatility” and “Zero Correlation Idiosyncratic Volatility” do not predict fund ...predict abnormal ...
94
Skewness, idiosyncratic volatility and expected returns
... across volatility portfolios. This makes the low returns to highly volatility stocks anomalous, since according to the CAPM they should have higher expected ...same size, SMB loadings increase ...
75
Cross-section of Option Returns and Idiosyncratic Stock Volatility
... and idiosyncratic volatility is insensitive to controlling for past stock returns over various horizons, including past one month, between 12 months and 1 month ago, and between three years and one ...
47
Idiosyncratic risk and the cross-section of stock returns: the role of mean-reverting idiosyncratic volatility
... that idiosyncratic risk is not priced by investors because in the absence of frictions it can be fully diversified ...of idiosyncratic risk that is not diversified should be ...between idiosyncratic ...
34
The Relation Between Idiosyncratic Volatility and Returns for U.S. Mutual Funds
... between returns and idiosyncratic ...conditional idiosyncratic risk she finds a positive relation between idiosyncratic risk and returns (risk adjusted ...on size and ...
40
IDIOSYNCRATIC VOLATILITY
... the volatility of common stock returns at the market, industry, and firm ...that idiosyncratic risk exhibits a strong positive trend over the period 1962 to 1997 in the US, has rekindled the interest ...
63
High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence
... the idiosyncratic volatility phe- nomenon, we include the characteristic controls described above with other risk controls in Fama-MacBeth (1973) regressions along with the L-FF idiosyncratic ...
52
High Idiosyncratic Volatility and Low Returns: A Prospect Theory Based Explanation
... stock returns on the lagged explanatory variables, computed in month ...monthly idiosyncratic volatility (IVOL), the interaction terms (IVOL*Ind1, IVOL*ind2, IVOL*ind1*ind2, and ind1*ind2), ind1, ...
56
Price Momentum and Idiosyncratic Volatility
... and idiosyncratic volatility ...momentum returns than do low IVol stocks, a relation that is driven by stocks with high IVol and low past returns ...by size, trading volume, share ...
28
Directors' and officers' liability insurance and acquirer returns
... firm size, non-cross-listed firms carry higher D&O insurance coverage ratios than cross-listed ...lower acquirer abnormal returns when they carry higher levels of D&O insurance ...increases ...
77
Idiosyncratic Volatility: Evidence from Asia
... higher returns if they have a high ...stock returns. The current consensus is that firm size and book-to-market equity factors are pervasive risk factors besides the overall market ...that ...
17
Idiosyncratic risk and the cross-section of REIT returns
... conditional idiosyncratic risk is positively ...conditional idiosyncratic risk may just picking up other effects of risk ...of idiosyncratic risk in the presence of three other well-known pricing ...
113
Is idiosyncratic volatility priced in commodity futures markets?
... lower returns and higher tail ...high idiosyncratic volatility portfolios and buying low idiosyncratic volatility ...the volatility signal derived from traditional benchmarks is ...
31
Idiosyncratic Volatility Matter? New Zealand Evidence
... stock idiosyncratic volatility and firm size are risk factors that may potentially explain asset pricing ...that idiosyncratic volatility is negatively related to firm ...firm ...
32
Idiosyncratic volatility and the pricing of poorly-diversified portfolios
... on idiosyncratic volatility and its role in explaining the cross- sectional variation in ...whether idiosyncratic volatility is priced for size and value-sorted Fama and French (1992) ...
29
Idiosyncratic volatility, stock market volatility, and expected stock returns
... time trend to the forecasting equation (row 7). The results of the second subsample reported in panel B are also very similar to those of the full sample. Such a stable forecasting relation across time explains the good ...
46
Impact of idiosyncratic volatility on stock returns: A cross-sectional study
... As a practical matter, sensitivity of individual stock returns to the market and idiosyn- cratic sources of risk should be finite, since infinite stock returns are not observed in the data. Given this ...
42
Idiosyncratic Volatility and Cross-section of Stock Returns: Evidences from India
... of idiosyncratic volatility and cross-section of stock’s excess ...in idiosyncratic volatility. They divided total volatility into two ...firm volatility and the market ...level ...
12