Can the portfolio excess growth rate explain the predictive power of idiosyncratic volatility?
Daniel Mantilla-Garcia, Juliana Malagon, Julian R. Aldana-Galindo
| Year of publication: |
2022
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|---|---|
| Authors: | Mantilla-Garcia, Daniel ; Malagon, Juliana ; Aldana-Galindo, Julian R. |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 47.2022, 1, p. 1-8
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| Subject: | Return predictability | Cross-sectional variance | Excess growth rate | Idiosyncratic volatility puzzle | Volatilität | Volatility | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection | Prognoseverfahren | Forecasting model | Wirtschaftswachstum | Economic growth | Schätzung | Estimation | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2021.102577 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013457556