Expected Idiosyncratic Volatility Measures and Expected Returns
Author:
Publisher
Wiley
Subject
Economics and Econometrics,Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1755-053X.2012.01209.x/fullpdf
Reference41 articles.
1. Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts;Andersen;International Economic Review,1998
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. Asymmetric Volatility and Risk in Equity Markets;Bekaert;Review of Financial Studies,2000
5. Idiosyncratic Risk and the Cross Section of Expected Returns;Bali;Journal of Financial and Quantitative Analysis,2008
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