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...
Saved in:
| Main Author: | |
|---|---|
| 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 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Singapore Management University |
| Language: | English |