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Keywords: Idiosyncratic Volatility
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2021) 29 (1): 29–48.
Published: 22 March 2021
.... Extreme returns Idiosyncratic risk Lottery-type stocks Idiosyncratic volatility Idiosyncratic skewness G11 G12 Recent studies show that stock with the extremely positive returns in the past month (t − 1) experience negative returns this month (t). Bali et al. (2011...
Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2019) 27 (4): 425–473.
Published: 30 November 2019
... the news. Furthermore, these results suggest that a strategy with sufficient consideration for CCRV is essential for the stock price prediction, the valuation of derivatives, and portfolio management. Trading Volume Idiosyncratic Return Idiosyncratic Volatility Illiquidity Premium Hypothesis Korean...
Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2017) 25 (4): 509–545.
Published: 30 November 2017
...Jaeuk Khil; Song Hee Kim; Eun Jung Lee We investigate the cross-sectional and time-series determinants of idiosyncratic volatility in the Korean market. In particular, we focus on the empirical relation between firms’ asset growth rate and idiosyncratic stock return volatility. We find...
