Common idiosyncratic volatility and returns: From an investment horizon perspective-Reference-Cited by-同舟云学术

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Common idiosyncratic volatility and returns: From an investment horizon perspective

Published:2018-10-10 Issue:1 Volume:24 Page:370-390
ISSN:1076-9307
Container-title:International Journal of Finance & Economics
language:en
Short-container-title:Int J Fin Econ

Author:

Yin Libo¹^ORCID,Shu Tengjia²,Su Zhi³

Affiliation:

1. School of Finance; Central University of Finance and Economics; Beijing China

2. Tippie College of Business; The University of Iowa; Iowa City Iowa

3. School of Statistics and Mathematics; Central University of Finance and Economics; Beijing China

Funder

National Natural Science Foundation of China

Program for Innovation Research in Central University of Finance and Economics

National Social Science Foundation of China

Publisher

Wiley

Subject

Economics and Econometrics,Finance,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1002/ijfe.1668/fullpdf

Reference67 articles.

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

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

3. Idiosyncratic risk matters! A regime switching approach [J];Angelidis;International Review of Economics & Finance,2009

4. Idiosyncratic volatility and the cross section of expected returns;Bali;Journal of Financial and Quantitative Analysis,2008

5. Does idiosyncratic risk really matter?;Bali;The Journal of Finance,2005

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