...Liu Hong; Tianpeng Zhou Purpose This paper aims to propose an alternative method to measure idiosyncratic volatility and test whether the idiosyncratic volatility puzzle holds in commodity futures markets. Design/methodology/approach This paper proposes a partially new measure of idiosyncratic...

...Chintal A. Desai; Khoa H Nguyen Purpose – The purpose of this paper is to identify three (maturity, agency, and information) effects that help explain the change in idiosyncratic volatility after a firm initiates a dividend. Design/methodology/approach – The paper uses a cross-sectional...