Idiosyncratic risk and the cross-section of stock returns: Merton (1987) meets Miller (1977)

Author:

Boehme Rodney D.,Danielsen Bartley R.,Kumar Praveen,Sorescu Sorin M.

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference36 articles.

1. Portfolio preferences of foreign institutional investors;Aggarwal;Journal of Banking and Finance,2005

2. Illiquidity and stock returns: cross-section and time-series effects;Amihud;Journal of Financial Markets,2002

3. The cross-section of volatility and expected returns;Ang;Journal of Finance,2006

4. An empirical investigation of short interest;Asquith,1995

5. Short interest, institutional ownership, and stock returns;Asquith;Journal of Financial Economics,2005

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