Idiosyncratic asymmetry in stock returns: An entropy measure-Reference-Cited by-同舟云学术

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Idiosyncratic asymmetry in stock returns: An entropy measure

Published:2024-06 Issue: Volume:64 Page:105317
ISSN:1544-6123
Container-title:Finance Research Letters
language:en
Short-container-title:Finance Research Letters

Author:

Chen Yan^ORCID,Liu Yakun^ORCID

Funder

Humanities and Social Science Fund of Ministry of Education of the People's Republic of China

Hunan Provincial Science and Technology Department

Ministry of Education of the People's Republic of China

Science and Technology Program of Hunan Province

Fundamental Research Funds for the Central Universities

Publisher

Elsevier BV

Reference35 articles.

1. Illiquidity and stock returns: cross-section and time-series effects;Amihud;J. Financ. Mark.,2002

2. The cross-section of volatility and expected returns;Ang;J. Financ.,2006

3. Risk and the required return on equity;Arditti;J. Finance,1967

4. A new distance based measure of asymmetry;Baillien;J. Multivariate Anal.,2023

5. Maxing out: Stocks as lotteries and the cross-section of expected returns;Bali;J. Financ. Econ.,2011

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