..., there is a negative premium of the extreme return, but relationship between the extreme return effect and the idiosyncratic risk effect is different for each country’s stock market. Bali et al. (2011) show that the negative relation between idiosyncratic volatility and stock returns [idiosyncratic...

... 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...

...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...