Using four different proxies for a firm's investor base we demonstrate that idiosyncratic risk
premiums are larger for neglected stocks and smaller or economically insignificant for visible …

This paper examines systematic differences in momentum, asymmetric volatility and the
relationship of idiosyncratic risk to momentum in both hi-tech stocks and low-tech stocks for …

We use tail events at different levels of severity to define an asset's tail risk and to
decompose the latter into a systematic and an idiosyncratic component. The systematic …

Size, conditional idiosyncratic risk and price momentum: an international study | Emerald Insight
Books and journals Case studies Expert Briefings Open Access Publish with us Advanced …

This thesis is an attempt to bridge some research gaps in the area of behavioural finance
and investment through adopting the three essays scheme of PhD dissertations. There is a …

We propose an investment‐momentum strategy of buying past winners with low investment
and selling past losers with high investment, which simultaneously exploits two dimensions …

Rational asset pricing implies a positive relation between the expected risk-adjusted return
and the volatility of a factor-mimicking portfolio. The relation for the momentum portfolio is …

We use a panel cointegration model with multiple time-varying individual effects to control
for the enigmatic missing factors in the credit spread puzzle. Our model specification …

This study applies relative strength trading rule to analyse momentum effect and return
reversal in the finance sector of Malaysia for the period of January 1997–December 2014 …