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An empirical analysis of idiosyncratic volatility and extreme returns in the Japanese Stock Market
(Lincoln University, 2012)
Traditional finance theory assumes that systematic risks cannot be diversified in the market and need to be priced, while idiosyncratic risks should be diversified away in a rational investor’s portfolio and should not be ...
Stock volatility and asset pricing in the Hong Kong stock market
(Lincoln University, 2011)
This study provides a comprehensive investigation into the role of both total volatility (TV) and idiosyncratic volatility (IV) in asset pricing in the Hong Kong stock market over the period 1980 to 2007. Total volatility ...
Stocks as lotteries: can extreme positive returns predict future returns? – evidence from Hong Kong stock market
(Lincoln University, 2011)
This study examines the significance of extreme positive returns measured by maximum daily returns in the previous month (MAX) in the Hong Kong stock market from 1990 to 2009. We follow the original study of Bali et al. ...
Three essays on momentum returns
(Lincoln University, 2013)
This dissertation consists of three essays on momentum returns. The first essay is entitled ‘Momentum Returns, Market States and the Global Financial Crisis’. This essay investigates the profitability of the momentum trading ...
Predictive ability of low-frequency volatility measures: Evidence from the Hong Kong stock markets
(Elsevier, 2018-09)
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 ...