Idiosyncratic Volatility, Aggregate Volatility Risk, and the Cross-section of Returns

Idiosyncratic Volatility, Aggregate Volatility Risk, and the Cross-section of Returns
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Total Pages : 290
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ISBN-10 : OCLC:263685192
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Book Synopsis Idiosyncratic Volatility, Aggregate Volatility Risk, and the Cross-section of Returns by : Alexander Barinov

Download or read book Idiosyncratic Volatility, Aggregate Volatility Risk, and the Cross-section of Returns written by Alexander Barinov and published by . This book was released on 2008 with total page 290 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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This paper examines the cross-sectional relation between idiosyncratic volatility and expected stock returns. The results indicate that (i) data frequency used