Abnormal returns and idiosyncratic volatility puzzle: An empirical investigation in Vietnam stock market
نویسندگان
چکیده
منابع مشابه
Incomplete information , idiosyncratic volatility and stock returns ∗
When investors have incomplete information, expected returns, as measured by an econometrician, deviate from those predicted by standard asset pricing models by including a term that is the product of the stock’s idiosyncratic volatility and the investors’ aggregated forecast errors. If investors are biased this term generates a relation between idiosyncratic volatility and expected stocks retu...
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ژورنال
عنوان ژورنال: Cogent Economics & Finance
سال: 2020
ISSN: 2332-2039
DOI: 10.1080/23322039.2020.1735196