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The cross-sectional relationship between stock returns and domestic and global factors in the Chinese A-share market

✍ Scribed by Yuenan Wang; Amalia Di Iorio


Publisher
Springer US
Year
2007
Tongue
English
Weight
293 KB
Volume
29
Category
Article
ISSN
0924-865X

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✍ 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