The Cross-Section of Stock Return and Volatility

• 主要作者: HAN, Hongchao
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2008
• 主題: idiosyncratic volatility discount; pricing; profitability; rate of return; stock price forecasting; stocks; Finance and Financial Management; Portfolio and Security Analysis
• 在線閱讀: https://ink.library.smu.edu.sg/etd_coll/41; https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1040&context=etd_coll

There has been increasing research on the cross-sectional relation between stock return and volatility. Conclusions are, however, mixed, partially because volatility or variance is modeled or parameterized in various ways. This paper, by using the Jiang and Tian (2005)'s model-free method, esti...