The Cross-Section of Stock Return and Volatility

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...

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Bibliographic Details
Main Author: HAN, Hongchao
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2008
Subjects:
Online Access:https://ink.library.smu.edu.sg/etd_coll/41
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1040&context=etd_coll
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Institution: Singapore Management University
Language: English
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