Impact of idiosyncratic volatility on stock returns: A cross-sectional study-Reference-Cited by-同舟云学术

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Impact of idiosyncratic volatility on stock returns: A cross-sectional study

Published:2013-08 Issue:8 Volume:37 Page:3064-3075
ISSN:0378-4266
Container-title:Journal of Banking & Finance
language:en
Short-container-title:Journal of Banking & Finance

Author:

Khovansky Serguey,Zhylyevskyy Oleksandr

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference44 articles.

1. Small-sample bias in GMM estimation of covariance structures;Altonji;Journal of Business & Economic Statistics,1996

2. Andrews, D.W.K., 2003. Cross-Section Regression with Common Shocks. Cowles Foundation Discussion Paper 1428, Yale University. (accessed 28.10.10).

3. Cross-section regression with common shocks;Andrews;Econometrica,2005

4. CAPM over the long run: 1926–2001;Ang;Journal of Empirical Finance,2007

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

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