𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Mispricing and the cross-section of stock returns

✍ Scribed by Carl R. Chen; Peter P. Lung; F. Albert Wang


Publisher
Springer US
Year
2008
Tongue
English
Weight
384 KB
Volume
32
Category
Article
ISSN
0924-865X

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Tests of the conditional asset pricing m
✍ Stuart Hyde; Mohamed Sherif πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 145 KB πŸ‘ 1 views

## Abstract We analyse the ability of the conditional asset pricing models to explain the cross‐sectional variation in UK stock returns. We examine conditional versions of the Sharpe‐Linter CAPM and the Fama‐French three‐factor model. The results indicate that the conditional single‐factor model is

The information content in implied idios
✍ Dean Diavatopoulos; James S. Doran; David R. Peterson πŸ“‚ Article πŸ“… 2008 πŸ› John Wiley and Sons 🌐 English βš– 266 KB πŸ‘ 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