Web18 jun. 2024 · Using firm-level data of equity real estate investment trusts (EREITs), we find a significant positive relation between idiosyncratic volatility and expected EREIT … Web1 jun. 2008 · Research by Huang et al. (2009) found that the relationship between idiosyncratic risk and expected stock returns is negative if the estimate is based …
Idiosyncratic Jump Risk Matters: Evidence from Equity Returns …
Web15 apr. 2008 · Idiosyncratic stock-return volatility varies across countries as well as through time. Morck, Yeung, and Yu (2000) focus on cross-country differences in market model return R 2 s, and show that stock-return R 2 s are higher in countries with more opaque information environments. Campbell et al. (2001) report that stock-return … WebEquity Returns and Idiosyncratic Volatility: UK Evidence Timotheos Angelidis∗ Department of Banking and Financial Management, University of Piraeus, 80, Karaoli & … perion maplestory
Idiosyncratic Risk Innovations and the Idiosyncratic Risk-Return …
Web1 jun. 2008 · The existing evidence on the relationship between idiosyncratic volatility and future stock returns based on US data are conflicting and confusing. On the one hand … Webrelationship between conditional short-run idiosyncratic volatility and stock returns is not. I include three di erent predictive horizons (1, 12, and 24 months) in the portfolio analysis, and nd that the predictive relationship between conditional long-run idiosyncratic volatility and expected returns holds for the 1-, 12- and 24-month horizons. Web1 jun. 2024 · Hot new equity issue markets did not affect idiosyncratic volatility but seemed to positively affect downside tail risk, except the VaR at a 0.9 confidence level for CAPM estimates. To corroborate our findings, we completed a robustness check based on propensity score analysis by matching firms with identical or similar features other than … perion maplestory npc