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Excess Comovement of Stock Returns: Evidence from Cross-Sectional Variation in Nikkei 225 Weights

โœ Scribed by Greenwood, R.


Book ID
115525490
Publisher
Oxford University Press
Year
2007
Tongue
English
Weight
235 KB
Volume
21
Category
Article
ISSN
0893-9454

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โœ Dean Diavatopoulos; James S. Doran; David R. Peterson ๐Ÿ“‚ Article ๐Ÿ“… 2008 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 266 KB ๐Ÿ‘ 2 views

## Abstract Current literature is inconclusive as to whether idiosyncratic risk influences future stock returns and the direction of the impact. Earlier studies are based on historical realized volatility. Implied volatilities from option prices represent the market's assessment of future risk and