Gan, ChristopherNartea, GVWu, J2018-09-142017-12-022018-092017-11-271544-6123GT6XH (isidoc)https://hdl.handle.net/10182/10235We 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 volatility. Second, we use a stock's past three-year maximum weekly return to create a MAX measure. We find that both IVOL and MAX are significant and negatively related to the one month ahead stock return. Both effects co-exist in the Hong Kong stock markets and are robust after controlling for the financial crisis, January effect, and tiny stocks.pp.40-46en© 2017 Elsevier Inc. All rights reserved.total volatilityidiosyncratic volatilitymaximum weekly returnsasset pricingweekly dataHong Kong stock marketsJournal Article10.1016/j.frl.2017.11.007ANZSRC::150205 Investment and Risk Management1544-6131ANZSRC::3502 Banking, finance and investment