Idiosyncratic volatility and the cross-section of anomaly returns : is risk your ally?
Year of publication: |
2019
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Authors: | Zaremba, Adam ; Maydybura, Alina |
Published in: |
Applied economics. - New York, NY : Routledge, ISSN 1466-4283, ZDB-ID 1473581-7. - Vol. 51.2019, 49, p. 5388-5397
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Subject: | asset allocation | asset pricing | Equity anomalies | idiosyncratic risk | idiosyncratic volatility | return predictability | the cross-section of stock returns | Volatilität | Volatility | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection | CAPM | Risiko | Risk | Kapitalmarktrendite | Capital market returns | Risikoprämie | Risk premium | Prognoseverfahren | Forecasting model | Kapitalanlage | Financial investment | Börsenkurs | Share price |
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