The value effect and the idiosyncratic volatility (IVol) discount arise because growth firms
and high IVol firms beat the CAPM during periods of increasing aggregate volatility (market …

When a benchmark model is inefficient, including test assets in addition to the benchmark
portfolios can improve the performance of the optimal portfolio. In reality, the efficiency of a …

To take into account the temporal dimension of uncertainty in stock markets, this paper
introduces a cross-sectional estimation of stock market volatility based on the intrinsic …

Using finite mixture normal regressions, we find that the relation between idiosyncratic
volatility (IVOL) and realized return is negative for one latent group and positive for the other …

The study looked at the relationship between risk and return in the Nigerian stock market
using Fama-French five-factor model and Higher Moment Fama-French five-factor model …

By using elastic net regressions to select among 340 firm characteristics, we identify an
idiosyncratic volatility component that is positively linked to future stock returns. This …

Heavy tails and time-varying autocorrelation (also called nonlinear dynamics) are both
stylized facts of financial returns that destabilize markets. The former are extreme events by …

This research paper investigates pricing factors and anomalies in the cryptocurrency market,
focusing on the period from 2015-09-04 to 2024-04-19. A sample of 52 cryptocurrencies are …

The study looked at the relationship between risk and return in the Nigerian stock market
using Fama-French five-factor model and Higher Moment Fama-French five-factor model …

This study investigates the relation between idiosyncratic volatility and future returns around
the firm-specific news announcements in the Korean stock market from July 1995 to June …