Idiosyncratic volatility, aggregate volatility risk, and the cross-section of returns
Thesis (Ph. D.)--University of Rochester. William E. Simon Graduate School of Business Administration, 2008.
Authors: | Barinov, Alexander (1981 ; Schwert, G. William (1950 |
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Publisher: |
University of Rochester |
Subject: | Empirical asset pricing | New issues puzzle | Aggregate volatility | Anomolies | Value effect | Idiosyncratic volatility |
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