Have we solved the idiosyncratic volatility puzzle?

Author:

Hou Kewei,Loh Roger K.

Publisher

Elsevier BV

Subject

Strategy and Management,Economics and Econometrics,Finance,Accounting

Reference37 articles.

1. Range-based estimation of stochastic volatility models;Alizadeh;Journal of Finance,2002

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. High idiosyncratic volatility and low returns: international and further U.S. evidence;Ang;Journal of Financial Economics,2009

5. Using stocks or portfolios in tests of factor models. Unpublished working paper;Ang,2010

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