Extreme daily returns and the cross-section of expected returns : evidence from Brazil
Year of publication: |
2019
|
---|---|
Authors: | Berggrun, Luis ; Cardona, Emilio ; Lizarzaburu, Edmundo |
Published in: |
Journal of business research : JBR. - New York, NY : Elsevier, ISSN 0148-2963, ZDB-ID 189773-1. - Vol. 102.2019, p. 201-211
|
Subject: | Emerging markets | Maximum daily return | Idiosyncratic volatility | Skewness | Lottery-like stocks | Panel regression | Kapitaleinkommen | Capital income | Volatilität | Volatility | Brasilien | Brazil | Schwellenländer | Emerging economies | Panel | Panel study | Schätzung | Estimation | Risikoprämie | Risk premium | Börsenkurs | Share price | Regressionsanalyse | Regression analysis |
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