[PDF] Top 20 Skewness, idiosyncratic volatility and expected returns
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Skewness, idiosyncratic volatility and expected returns
... that idiosyncratic risk is correlated with expected returns both at the market and the individual stock level, although there is disagreement on the direction of the ...the volatility of ... See full document
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Idiosyncratic Volatility and Cross-section of Stock Returns: Evidences from India
... portfolio returns and the median value-weighted average stock ...stocks returns while the studies of ...stock returns. The relationship between cross-section of stock returns and IV are ... See full document
12
An empirical analysis of idiosyncratic volatility and extreme returns in the Japanese Stock Market
... the idiosyncratic risk (a major focus of this research). Since idiosyncratic risk is diversifiable, we test whether there is any relationship between idiosyncratic risk and investors expected ... See full document
221
Analyzing the Idiosyncratic Volatility Character of Emerging Markets: A Post Crisis Investigation on Istanbul Stock Exchange
... lagged idiosyncratic volatility and future returns, which they call “a substansive ...market idiosyncratic volatility and future quarterly stock market ...high idiosyncratic ... See full document
6
Is idiosyncratic volatility priced in commodity futures markets?
... The pricing of commodity futures contracts is informed by the theory of storage of Kaldor (1939), Working (1949) and Brennan (1958) and the hedging pressure hypothesis of Keynes (1930), Cootner (1960) and Hirshleifer ... See full document
31
Idiosyncratic Risk and Returns: The Case for a More Efficient Class of Estimators
... between idiosyncratic risk and returns seems dominant, some papers document conflicting ...and returns for the overall period 1926-1985 and for the three sub-periods in which he divides his ...stock ... See full document
15
Gambling Preference and the New Year Effect of Assets with Lottery Features
... residual returns within the preceding month, where residual returns are estimated from the Fama and French (1993) three-factor ...firm-specific volatility, including idiosyncratic ... See full document
57
Commodity strategies based on momentum, term structure, and idiosyncratic volatility
... The results in Panel A show over the whole sample that for a given signal either the long or short dummy is significantly priced cross-sectionally which suggests that each of the three signals has its own merit and ... See full document
42
Stock Price Information Content, Idiosyncratic Volatility and Expected Return
... between idiosyncratic volatility and heterogene- ous beliefs [2], thus, higher idiosyncratic volatility correlates to larger heterogeneous beliefs and lower expected returns, ... See full document
11
Performance of Idiosyncratic Volatility Strategies in Commodity Markets: Delusion or Reality?
... are expected to ...futures returns are constructed by holding the nearest- to-maturity contract up to one month before maturity and then rolling to the second nearest contract which lessens ... See full document
6
Exposure to Common Idiosyncratic Volatility on Stock Returns in ASEAN Stock Markets
... common idiosyncratic volatility (CIV) are priced in emerging markets, especially in Southeast ...estimate idiosyncratic volatility employing an exponential generalized autoregressive ... See full document
18
Global engagement and returns volatility
... estimating volatility models based on firm-level panel data, because stock returns have been show to display substantial cross-sectional and time-dependence, both in their first and second moments (Andersen ... See full document
31
An Example of an Investment Model That Makes Something Out of Nothing (Sort of): Implications for Building Applied Mathematical Models
... their returns will be ...lower volatility in their prices. Nevertheless, “harvesting their volatility” can in- crease their returns notably—so much so that they can exceed the returns ... See full document
8
Identifying the value of liquidity : cash flow volatility, real asset liquidity and the implied cost of equity capital
... flow volatility diminishes value to the extent that it causes shortages in internally generated funds available to take advantage of attractive investment ...flow volatility changes among varying economic ... See full document
97
Two Essays on the Low Volatility Anomaly
... high volatility portfolio. The low (high) volatility portfolio buys the 10% of mutual funds in the sample with the lowest (highest) standard deviation of daily returns in the prior calendar ...daily ... See full document
89
Patterns and Pricing of Idiosyncratic Volatility in the French Stock Market
... aggregate idiosyncratic and market volatility using Bunzel and Vogelsang’s [25] t-dan ...both idiosyncratic and market volatility do not exhibit long-term ... See full document
19
Unbiased weighted variance and skewness estimators for overlapping returns
... overlapping returns, and Müller (1993) concludes utilizing overlapping returns in most applications will result in an overall increase in estimation precision of statistics that are a function of the ... See full document
8
Calendar Effects and Seasonality on Returns and Volatility
... in volatility rather in expected ...in volatility is October, where there are significant higher and lower average returns, than the other trading months, in 5 and 36 cases, so in total of 41 ... See full document
28
Non Stationary Stochastic Volatility Model for Dynamic Feedback and Skewness
... Rest of the paper is organized as follows. In section 2 the general framework for SV model with common factor and time dependent impact parameters is described. The concept of bounded stationarity is introduced in this ... See full document
41
Closer View at the Stock Market Liquidity: A Literature Review
... Higher level of illiquidity poses the risk of higher losses for the investors along with higher gains in comparison to the liquid markets because of the price volatility. In illiquid markets, an investor is ... See full document
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