2 papers
q-fin.GN2022
Common Idiosyncratic Quantile Factors and Asset Prices
Jozef Barunik, Matej Nevrla
We investigate whether the tails of firm-level idiosyncratic return distributions are driven by common shocks. We use quantile factor analysis to extract such common idiosyncratic…
q-fin.GN2020
Investment Disputes and Abnormal Volatility of Stocks
Jozef Barunik, Zdenek Drabek, Matej Nevrla
Dramatic growth of investment disputes between foreign investors and host states rises serious questions about the impact of those disputes on investors. This paper is the first to…