Does idiosyncratic volatility proxy for a missing risk factor? : evidence using portfolios as test assets
Year of publication: |
2022
|
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Authors: | Gempesaw, David ; Kassa, Haimanot ; Zykaj, Blerina Bela |
Published in: |
European financial management : the journal of the European Financial Management Association. - Oxford : Wiley-Blackwell, ISSN 1468-036X, ZDB-ID 1480712-9. - Vol. 28.2022, 3, p. 693-721
|
Subject: | idiosyncratic volatility | IVOL puzzle | missing risk factor | Volatilität | Volatility | Portfolio-Management | Portfolio selection | CAPM | Risiko | Risk | Kapitaleinkommen | Capital income | Risikoprämie | Risk premium |
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