Expected Volatility, Unexpected Volatility, and the Cross-section of Stock Returns
The existing literature finds conflicting results on the cross-sectional relation between expected returns and idiosyncratic volatility. We contend that at the firm level, the sample correlation between unexpected returns and expected idiosyncratic volatility can cloud the true relation between the...
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Main Authors: | , , |
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Format: | text |
Language: | English |
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Institutional Knowledge at Singapore Management University
2010
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Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/4877 |
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Institution: | Singapore Management University |
Language: | English |