Idiosyncratic Volatility Matters for the Cross-Section of Returns— in More Ways Than One!
This article re-examines the relationship between idiosyncratic volatility and the cross-section of stock returns. Previous studies, using total realized returns as proxies for expected returns, have found ambiguous and conflicting relationships between expected idiosyncratic volatility and expected...
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Main Authors: | CHUA, Choong Tze, GOH, Choo Yong, Jeremy, ZHANG, Zhe (Joe) |
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Format: | text |
Language: | English |
Published: |
Institutional Knowledge at Singapore Management University
2006
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Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/1074 |
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Institution: | Singapore Management University |
Language: | English |
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