This paper investigates the impact of innovations in US economic policy uncertainty on the
co-movements of China's A/B stock markets with the US stock market. We show that it is the …

This paper investigates the association between idiosyncratic volatility and firm life cycle
stages. Since firm performance and availability of information vary across life cycle stages …

We test a new cross-sectional relation between expected stock return and idiosyncratic risk
implied by the theory of costly arbitrage. If arbitrageurs find it more difficult to correct the …

This paper investigate the impact of leverage structure on stock price synchronicity. To better
understand the mechanism of the impact of leverage, we break leverage into operating …

We find a positive and significant relation between forecasted idiosyncratic volatility and
returns in a large international database covering 57 countries with over three million …

A key prediction of the Capital Asset Pricing Model (CAPM) is that idiosyncratic risk is not
priced by investors because in the absence of frictions it can be fully diversified away. In the …

The objective of any investment is to earn return. Return on the amount invested in stocks
includes dividend and capital appreciation. These returns are influenced by both systematic …

This paper examines the idiosyncratic volatility (IV) puzzle in the Indian stock market for the
period 1999–2014. Univariate and bivariate sorting, as well as cross-section regressions …

This study investigates the relationship between idiosyncratic risk, market volatility, and
stock returns for companies traded on the Borsa Istanbul. The analysis calculates …

We investigate the performances of the ARFIMA, HAR, and EGARCH models in capturing
the time-varying property of idiosyncratic volatility (IVOL). We find that the expected IVOL …