Abnormal returns and idiosyncratic volatility puzzle: An empirical investigation in Vietnam stock market

Abnormal returns and idiosyncratic volatility puzzle: An empirical investigation in Vietnam stock market

This paper aims to examine the relation between idiosyncratic volatility (IVOL) and stock returns with full-sample and conditional alpha sub-samples in Vietnam stock market covering the period from January 2008 to December 2018. We test the IVOL effect on stock returns employing Fama-Macbeth regress...

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Bibliographic Details
Main Authors: Xuan Vinh Vo, Van Phong Vo, Thanh Phuc Nguyen
Format: Article
Language:English
Published: Taylor & Francis Group 2020-01-01
Series:Cogent Economics & Finance
Subjects:
abnormal returns
asset pricing
idiosyncratic volatility
Online Access:http://dx.doi.org/10.1080/23322039.2020.1735196

Internet

http://dx.doi.org/10.1080/23322039.2020.1735196

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