High Idiosyncratic Volatility and Low Returns: A Prospect Theory Explanation
Author:
Publisher
Wiley
Subject
Economics and Econometrics,Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/fima.12057/fullpdf
Reference39 articles.
1. Illiquidity and Stock Returns: Cross-Section and Time-Series Effects;Amihud;Journal of Financial Markets,2002
2. The Cross-Section of Volatility and Expected Returns;Ang;Journal of Finance,2006
3. High Idiosyncratic Volatility and Low Returns: International and Further US Evidence;Ang;Journal of Financial Economics,2009
4. Noisy Prices and Inference Regarding Returns;Asparouhova;Journal of Finance,2011
5. Investor Sentiment and the Cross-Section of Stock Returns;Baker;Journal of Finance,2006
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