๐”– Bobbio Scriptorium
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An Empirical Re-Examination of the Cross-Section of Expected Returns: UK Evidence

โœ Scribed by Andrew Chan; Alice P.L. Chui


Book ID
111105751
Publisher
John Wiley and Sons
Year
1996
Tongue
English
Weight
923 KB
Volume
23
Category
Article
ISSN
0306-686X

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Assuming a symmetric relation between returns and innovations in implied market volatility, Ang, A., Hodrick, R., Xing, Y., and Zhang, X. (2006) find that sensitivities to changes in implied market volatility have a cross-sectional effect on firm returns. Dennis, P., Mayhew, S., and Stivers, C. (200