✦ LIBER ✦

The return impact of realized and expected idiosyncratic volatility

✍ Scribed by David R. Peterson; Adam R. Smedema

Book ID: 116615851
Publisher: Elsevier Science
Year: 2011
Tongue: English
Weight: 290 KB
Volume: 35
Category: Article
ISSN: 0378-4266
DOI: 10.1016/j.jbankfin.2011.02.015

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Expected Idiosyncratic Volatility Measur

Expected Idiosyncratic Volatility Measures and Expected Returns

✍ Jason D. Fink; Kristin E. Fink; Hui He 📂 Article 📅 2012 🏛 Financial Management Association International (FM 🌐 English ⚖ 757 KB

The distribution of realized stock retur

The distribution of realized stock return volatility

✍ Torben G. Andersen; Tim Bollerslev; Francis X. Diebold; Heiko Ebens 📂 Article 📅 2001 🏛 Elsevier Science 🌐 English ⚖ 325 KB

The Dynamic Relation Between Returns and

The Dynamic Relation Between Returns and Idiosyncratic Volatility

✍ Xiaoquan Jiang; Bong-Soo Lee 📂 Article 📅 2006 🏛 Financial Management Association International (FM 🌐 English ⚖ 670 KB

Impact of uncertainty in expected return

Impact of uncertainty in expected return estimation on stock price volatility

✍ Zvonko Kostanjcar; Branko Jeren; Zeljan Juretic 📂 Article 📅 2012 🏛 Elsevier Science 🌐 English ⚖ 371 KB

Idiosyncratic risk and the cross-section

Idiosyncratic risk and the cross-section of expected stock returns

✍ Fangjian Fu 📂 Article 📅 2009 🏛 Elsevier Science 🌐 English ⚖ 284 KB

Idiosyncratic risk and the cross-section

Idiosyncratic risk and the cross-section of expected stock returns

✍ Fangjian Fu 📂 Article 📅 2009 🏛 Elsevier Science 🌐 English ⚖ 284 KB

Theories such as Merton [1987. A simple model of capital market equilibrium with incomplete information. Journal of Finance 42, 483–510] predict a positive relation between idiosyncratic risk and expected return when investors do not diversify their portfolio. Ang, Hodrick, Xing, and Zhang [2006. Th