Heteroskedasticity in Stock Returns
نویسندگان
چکیده
منابع مشابه
An empirical investigation of idiosyncratic risk and stock returns relation in heteroskedasticity corrected predictive models
This paper investigates stock returns behaviour as a function of lagged idiosyncratic risk in the Fama-French three-factor model using two approaches to estimating idiosyncratic risk. The application of ordinary least squares and quantile regression methods to heteroskedasticity corrected data in a panel structure reveals that the form of relationship does not change with the method of estimati...
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ژورنال
عنوان ژورنال: The Journal of Finance
سال: 1990
ISSN: 0022-1082
DOI: 10.1111/j.1540-6261.1990.tb02430.x