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Advanced Search Results For "IDIOSYNCRATIC risk (Securities)"

1 - 10 of 1,153 results for
 "IDIOSYNCRATIC risk (Securities)"
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The Capitalization Effect of Imputation Credits on Expected Stock Returns.

Publication Type:Academic Journal

Source(s):Abacus. Sep2022, Vol. 58 Issue 3, p523-566. 44p. 12 Charts.

Abstract:This paper develops an equilibrium model featuring heterogeneity in investor risk tolerance across different risk sources. Using Australian data, it confirms the theoretical predictions of the model by showing that a higher imputation credit yield in o...

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The cross-section of expected stock returns and components of idiosyncratic volatility.

Publication Type:Academic Journal

Source(s):Journal of Risk Finance (Emerald Group Publishing Limited). 2022, Vol. 23 Issue 4, p403-417. 15p.

Abstract:Purpose: The purpose of this paper is to contribute to the existing stock return predictability and idiosyncratic risk literature by examining the relationship between stock returns and components derived from the decomposition of stock returns varianc...

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How financial crises affect the relationship between idiosyncratic volatility and stock returns.

Publication Type:Academic Journal

Source(s):International Review of Economics & Finance. Jul2022, Vol. 80, p96-113. 18p.

Abstract:The current literature is inconclusive as to whether idiosyncratic risk influences future stock returns. While earlier studies are based on historical realized volatility to estimate expected idiosyncratic volatility, Diavatopoulos, Doran and Peterson ...

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Financial crime: Why are securities markets vulnerable?

Publication Type:Academic Journal

Source(s):Journal of Securities Operations & Custody. Fall2021, Vol. 13 Issue 4, p346-353. 8p.

Abstract:In the last five years, regulators have begun to focus on compliance and money laundering risks specific to securities markets. It is clear to them that the ways in which securities are issued, traded, cleared and settled create a series of opportuniti...

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Correction.

Publication Type:Academic Journal

Source(s):Journal of Applied Econometrics. Jun2022, Vol. 37 Issue 4, p831-840. 10p.

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The Effect of COVID-19 on the Relationship between Idiosyncratic Volatility and Expected Stock Returns.

Publication Type:Academic Journal

Source(s):Risks. Mar2022, Vol. 10 Issue 3, p57. 11p.

Abstract:This study examines the effect of the COVID-19 pandemic on the relationship between idiosyncratic volatility and expected stock returns. Using daily stock return data in the US market from the Center for Research in Security Prices (CRSP), we estimate ...

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Political heterogeneity, subjective optimism, and stock market outcomes.

Publication Type:Academic Journal

Source(s):Applied Economics. Mar 2022, Vol. 54 Issue 13, p1487-1506. 20p. 9 Charts, 4 Graphs.

Abstract:We demonstrate that political heterogeneity, proxied by the spread in subjective optimism between Democratic and Republican investors, affects stock market returns and volatility. Our intuition, drawn from the psychology literature on intergroup confli...

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The Short-Run and Long-Run Components of Idiosyncratic Volatility and Stock Returns.

Publication Type:Academic Journal

Source(s):Management Science. Feb2022, Vol. 68 Issue 2, p1573-1589. 17p.

Abstract:To capture the dynamics of idiosyncratic volatility of stock returns over different horizons and investigate the relationship between idiosyncratic volatility and expected stock returns, this paper develops and estimates a parsimonious model of idiosyn...

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Can extreme returns predict the cross-section of expected returns in the Brazilian market?

Publication Type:Academic Journal

Source(s):Revista Brasileira de Finanças. Jan-Mar2022, Vol. 20 Issue 1, p1-20. 20p.

Abstract:This article extends the evidence of maximum (MAX) and minimum (MIN) daily return effects on stock performance to the Brazilian market. Our sample includes data on daily and monthly stock returns of the firms listed on the Brazilian stock exchange betw...

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Are momentum profits influenced by idiosyncratic volatility? Evidence from India.

Publication Type:Academic Journal

Source(s):IIMB Management Review (Elsevier Science). Mar2022, Vol. 34 Issue 1, p44-53. 10p.

Abstract:In this paper, we examine the presence of a possible relationship between momentum returns and idiosyncratic volatility. We also verify if price momentum is influenced by idiosyncratic volatility. The results show that idiosyncratic volatility (IV) and...

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