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Explaining the Cross-Section of Stock Returns in Japan: Factors or Characteristics?

โœ Scribed by Kent Daniel; Sheridan Titman; K.C. John Wei


Book ID
108503040
Publisher
John Wiley and Sons
Year
2001
Tongue
English
Weight
122 KB
Volume
56
Category
Article
ISSN
0022-1082

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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