2014
DOI: 10.2139/ssrn.2494736
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Idiosyncratic Volatility and Cross-Section of Stock Returns: Evidences from India

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“…An increase (decrease) in the VIX index is followed by a negative (positive) relationship between IV and future returns. Sharma and Kumar (2014) show that IV positively influences the cross-section of Indian stock returns. After adjusting for unexpected IV, the inter-temporal dependence between expected IV and expected returns is found to be positive.…”
Section: Literature Reviewmentioning
confidence: 90%
“…An increase (decrease) in the VIX index is followed by a negative (positive) relationship between IV and future returns. Sharma and Kumar (2014) show that IV positively influences the cross-section of Indian stock returns. After adjusting for unexpected IV, the inter-temporal dependence between expected IV and expected returns is found to be positive.…”
Section: Literature Reviewmentioning
confidence: 90%