Essays about: "Idiosyncratic volatility effect"

Showing result 1 - 5 of 11 essays containing the words Idiosyncratic volatility effect.

1. 1. Revisiting the Idiosyncratic Volatility Puzzle and MAX Effect in European Equity Markets

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : David Böckling; Jurgis Druktenis; [2023]
   Keywords : Idiosyncratic volatility; Fama-French three-factor model; MAX effect; European equity markets; Asset pricing anomalies;

   Abstract : In light of traditional financial theory's argument that firm-specific risk should not impact future returns, the findings of the Idiosyncratic Volatility (IVOL) puzzle, as well as the Maximum Daily Returns (MAX) effect, have sparked a vibrant academic debate. Using data from January, 1993, to December, 2022, this paper presents European aggregate and country-level evidence at the intersection between the two asset pricing anomalies. READ MORE

3. 2. The Performance of Stocks Earning Extreme Single-Day Returns: Evidence from Sweden

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Dominik Schleuss; Tavish Gantz; [2021]
   Keywords : MAX Effect; Extreme returns; Cross-section of returns; Lottery-like payoffs; Behavioral Finance;

   Abstract : In 2011, Bali et al. presented evidence that stocks with extreme one and multi day-returns significantly underperform stocks with less extreme returns in the following month. They attributed this to investors exhibiting a preference for stocks with lottery-like payoffs. READ MORE

4. 3. The Effect of ESG Performance on Share Price Volatility

   University essay from Umeå universitet/Företagsekonomi

   Author : Robin Jari Mattias Jakobsson; Leo Lundberg; [2018]
   Keywords : ESG; CSR; corporate social responsibility; total risk; financial risk; idiosyncratic risk; volatility.;

   Abstract : Environmental, Social, and Governance (ESG) investing is growing rapidly. Previous research in the area, has mostly been centered around ESG/CSR and its link to corporate financial performance, cost of capital and idiosyncratic risk. READ MORE

5. 4. The Effect of Customer-base Diversification on Idiosyncratic Volatility

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Ronie Islam; Anton Törnblom; [2017]
   Keywords : Customer-base Concentration; Idiosyncratic Volatility; Diversification; Business and Economics;

   Abstract : The study sets out the objective to investigate how a firm’s customer-base diversification affects its stock return idiosyncratic volatility. The research paper primarily focuses on the way that the distribution of sales impacts the firm specific risk that is unrelated to the risk of the market, and it does so through the use of both a geographical and an operating customer-base concentration measure. READ MORE

6. 5. The Effect of Idiosyncratic Volatility and the Role of Investors' Sentiment in the Swedish Stock Market

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Andrea Ricci; [2017]
   Keywords : Arbitrage risk; Arbitrage asymmetry; Idiosyncratic volatility effect; Swedish stocks; Investors sentiment;

   Abstract : The thesis investigates the presence of arbitrage risk and arbitrage asymmetry, and their relation with investors' sentiment, in the Swedish stock market. By assuming that stocks' idiosyncratic volatility (IVOL) translates into arbitrage risk, the study analyzes the effects of IVOL on subsequent returns for the OMX Stockholm 30 constituents. READ MORE