On the robustness of the positive relation between expected idiosyncratic volatility and expected return

My 2009 JFE paper ["Idiosyncratic Risk and the Cross-Section of Expected Stock Returns', Journal of Financial Economics, Vol. 91, pp. 24-37] documents a positive and statistically significant cross-sectional relation between expected idiosyncratic volatility (E(IVOL)) and expected stock re...

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Bibliographic Details
Main Author: FU, Fangjian
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2010
Subjects:
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/5290
https://ink.library.smu.edu.sg/context/lkcsb_research/article/6289/viewcontent/SSRN_id1742171.pdf
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Institution: Singapore Management University
Language: English