This study investigates the explanatory power of Chinese economic variables on the Australian and New Zealand equity returns. Results suggest that Chinese economic variables have significant explanatory power for both market-level and industry-level portfolio returns. Our results are robust when...

We employ low-frequency data to estimate historical volatility measures for Hong Kong stocks and examine the relationship between these measures and the one-month ahead stock return over thirty-five years. First, we employ a stock's past three-year weekly return to compute idiosyncratic...

Recent evidence in the U.S. and Europe indicates that stocks with high maximum daily returns in the previous month, perform poorly in the current month. We investigate the presence of a similar effect in the emerging Chinese stock markets with portfolio-level analysis and firm-level Fama-MacBeth...

Motivated by Huang et al.'s (2013) recent arguments, we empirically examine the risk-return tradeoff in a liberalized emerging stock market, Vietnam during 2007 to 2014. We find that: i) neither realized idiosyncratic volatility nor conditional idiosyncratic volatility has been priced; ii) both the...

Purpose: The current research is to investigate the time series behavior of idiosyncratic volatility (IVOL) and its role in asset pricing in France in a twenty-year testing period. Design/methodology/approach: We test for the presence of trends in aggregate idiosyncratic and market volatility...

We investigate the time series behavior of idiosyncratic volatility and its role in asset pricing in China. We find no evidence of a long-term trend in the time series behavior of idiosyncratic volatility. Idiosyncratic volatility in China is best characterized by an autoregressive process with...

We use Hong Kong stock market data for 1982-2001 to test the persistence of the size and value premia and therobustness of the Fama-French (FF) three-factor model in explaining the variation in stock returns. We document a statistically significant and persistent size effect or size premium that...

We investigate the significance of extreme positive returns (MAX) in the cross- sectional pricing of stocks in South Korea. Our results provide important out of sample evidence of a strong negative MAX effect similar to that documented by Bali et al., (2011) in the U.S. stock market. For...