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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| 格式: | text |
| 語言: | English |
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Institutional Knowledge at Singapore Management University
2010
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| 在線閱讀: | 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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