On the Robustness of the Positive Relation between Expected Idiosyncratic Volatility and Expected Return
نویسندگان
چکیده
منابع مشابه
An analytical derivation of the relation between idiosyncratic volatility and expected stock return
Modelling stock return generating process as a single factor model, we show analytically that the relation between idiosyncratic volatility measured as variance of the residuals and expected stock return in the cross-section may be represented by a parabola that opens to the left and has horizontal axis. This relation is uncovered for stocks of similar volatility and no abnormal return. The sen...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2010
ISSN: 1556-5068
DOI: 10.2139/ssrn.1742171