All Outputs (2)

Idiosyncratic Volatility and Expected Returns at the Global Level (2015)
Journal Article
Umutlu, M. (2015). Idiosyncratic Volatility and Expected Returns at the Global Level. Financial Analysts Journal, 71(6), 58-71. https://doi.org/10.2469/faj.v71.n6.5

The author investigated the existence and significance of a global cross-sectional relation between idiosyncratic volatility and expected returns by introducing a global idiosyncratic volatility measure and globally diversified test assets. He found... Read More about Idiosyncratic Volatility and Expected Returns at the Global Level.

Stock-return volatility and daily equity trading by investor groups in Korea (2015)
Journal Article
Umutlu, M., & Shackleton, M. B. (2015). Stock-return volatility and daily equity trading by investor groups in Korea. Pacific-Basin Finance Journal, 34, 43-70. https://doi.org/10.1016/j.pacfin.2015.05.003

We examine the short-run relationship between stock-return volatility and daily equity trading by several investor groups in the Korean Stock Exchange. We also investigate whether trade characteristics and trading styles can explain the potential dis... Read More about Stock-return volatility and daily equity trading by investor groups in Korea.