Idiosyncratic risk puzzle and its pricing: Do firm characteristics matter? Evidence of BRICS countries

This paper examines the relationship between idiosyncratic risk and stock returns in BRICS (Brazil, Russia, India, China, and South Africa) countries by applying parametric and nonparametric approaches. It also explores the idiosyncratic risk puzzle by dividing firms into groups based on fundamental...

書誌詳細
出版年:	Borsa Istanbul Review
主要な著者:	Saba Kausar, Abdul Rashid, Zulfiqar Ali Shah
フォーマット:	論文
言語:	英語
出版事項:	Elsevier 2023-01-01
主題:	G10 G11 G12 G14
オンライン･アクセス:	http://www.sciencedirect.com/science/article/pii/S2214845022000849

類似資料

Asset pricing anomalies: The case of dividends in the US for Sharia-compliant firms
著者:: Asyraf bin Abdul Halim, 等
出版事項: (2025-03-01)

Further evidence on co-movement between equity funds and business cycle variables in BRICS: A Wavelet analysis
著者:: Fiza Qureshi, 等
出版事項: (2020-12-01)

Climate policy uncertainty and dynamic volatility spillovers in Chinese stock market: Based on sectoral evaluation
著者:: Zhiwei Zhang, 等
出版事項: (2025-09-01)

Market efficiency and its determinants: Macro-level dynamics and micro-level characteristics of cryptocurrencies
著者:: Ahmed Bouteska, 等
出版事項: (2025-03-01)

Betting against noisy beta
著者:: Thorsten Lehnert
出版事項: (2022-11-01)

Information cascades, short-selling constraints, and herding in equity markets
著者:: Murat Tiniç, 等
出版事項: (2020-12-01)

Information shocks and the cross section of expected returns
著者:: Tanseli Savaser, 等
出版事項: (2023-03-01)

Asset allocation models for big tech stocks: The importance of lower partial moments and short length windows
著者:: José Luis Miralles-Quirós, 等
出版事項: (2024-09-01)

Oil assets and portfolio diversification: Firm-level analysis for Borsa Istanbul
著者:: Pınar Evrim Mandacı, 等
出版事項: (2022-05-01)

Do psychological factors exert greater influence on investment decisions than physiological factors? Evidence from Borsa Istanbul
著者:: Senay Acikgoz, 等
出版事項: (2023-12-01)

Tax expense surprise and emerging markets equity returns
著者:: A. Doruk Gunaydin
出版事項: (2022-07-01)

Complete verification of strong BSD for many modular abelian surfaces over ${\mathbf {Q}}$
著者:: Timo Keller, 等
出版事項: (2025-01-01)

Board gender diversity and stock price crash risk: Going beyond tokenism
著者:: Ayesha Qayyum, 等
出版事項: (2021-09-01)

Time-varying performance of betting against beta (BAB) and other risk-based anomalies: Evidence from Asia
著者:: Sarika Rakhyani, 等
出版事項: (2025-09-01)

A comparison of bid-ask spread proxies and determinants of bond bid-ask spread
著者:: Emre Su, 等
出版事項: (2021-09-01)

Reputation, return and risk: A new approach
著者:: Lígia Febra, 等
出版事項: (2023-01-01)

Firm location, investor recognition, and the liquidity of Chinese publicly listed SMEs
著者:: Kian-Ping Lim, 等
出版事項: (2023-03-01)

Big data, accounting information, and valuation
著者:: Doron Nissim
出版事項: (2022-11-01)

The impact of religious announcements on stock prices and investment decisions on the Saudi stock exchange
著者:: Turki Rashed Alshammari, 等
出版事項: (2023-09-01)

The relationship between commodity prices and freight rates in the dry bulk shipping segment: A threshold regression approach
著者:: Konstantinos D. Melas, 等
出版事項: (2021-01-01)

Impact of crude oil price uncertainty on indian stock market returns: Evidence from oil price volatility index
著者:: Nenavath Sreenu
出版事項: (2022-11-01)

Rational torsion points on abelian surfaces with quaternionic multiplication
著者:: Jef Laga, 等
出版事項: (2024-01-01)

Does the financial flexibility prevent stock price crash risk during COVID-19 crisis? Evidence from the Vietnamese stock market
著者:: Quang Khai Nguyen, 等
出版事項: (2023-11-01)

Exceptional jumps of Picard ranks of reductions of K3 surfaces over number fields
著者:: Ananth N. Shankar, 等
出版事項: (2022-01-01)

Volatility, trading activity and maximum lot amounts: Evidence from Borsa Istanbul
著者:: Güzhan Gülay
出版事項: (2022-05-01)

Turn-of-the-candle effect in bitcoin returns
著者:: Savva Shanaev, 等
出版事項: (2023-03-01)

Air pollution, bid price bias, and IPO underpricing
著者:: Qi Wang, 等
出版事項: (2023-10-01)

Market- and future-level sentiment and futures returns in Chinese agricultural futures markets
著者:: Yuan Li
出版事項: (2024-09-01)

Testing mispricing-augmented factor models in an emerging market: A quest for parsimony
著者:: Fahad Ali
出版事項: (2022-03-01)

Idiosyncratic volatility, network centrality, and stock returns
著者:: Sergen Akarsu
出版事項: (2023-09-01)

The puzzle of convex/concave ESG returns and large banks in MENA region countries
著者:: Ray Saadaoui Mallek, 等
出版事項: (2024-05-01)

The impact of write-down equity on bank stability under ambiguity aversion
著者:: Zhiming Zhao, 等
出版事項: (2025-03-01)

Investors’ net buying pressure and implied volatility dynamics
著者:: Doojin Ryu, 等
出版事項: (2022-07-01)

Wine market efficiency: Is glass half full or half empty?
著者:: Andrei Shynkevich
出版事項: (2025-03-01)

On two theorems for flat, affine group schemes over a discrete valuation ring
著者:: Vasiu Adrian
出版事項: (2005-03-01)

Evaluating the responsiveness of Caribbean stock markets – The case of COVID-19
著者:: Richard Ramsawak, 等
出版事項: (2024-07-01)

The impact of investor sentiment on returns, cash flows, discount rates, and performance
著者:: Ateeq ur Rehman Muhammad
出版事項: (2022-03-01)

When to bet against beta? Ask Google
著者:: Pedro Piccoli
出版事項: (2025-03-01)

Term structure of interest rates with short-run and long-run risks
著者:: Olesya V. Grishchenko, 等
出版事項: (2022-11-01)

Tick size, liquid stocks and market quality: Evidence from a natural experiment in a unique setting
著者:: Güzhan Gülay, 等
出版事項: (2023-09-01)