Are extreme returns priced in the stock market? European evidence
Year of publication: |
2012-09
|
---|---|
Authors: | ANNAERT, Jan ; DE CEUSTER, Marc ; VERSTEGEN, Kurt |
Institutions: | Faculteit Toegepaste Economische Wetenschappen, Universiteit Antwerpen |
Subject: | Extreme returns | Cross-section of expected returns | Lottery-like payoffs | Skewness | Idiosyncratic volatility puzzle |
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