Idiosyncratic volatility, returns, and mispricing : no real anomaly in sight
Year of publication: |
March 2018
|
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Authors: | Zaremba, Adam ; Czapkiewicz, Anna ; Będowska-Sójka, Barbara |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 24.2018, p. 163-167
|
Subject: | Abnormal returns | Idiosyncratic volatility | Low-risk anomaly | Mispricing | Monte Carlo simulation | Return predictability | Stock market anomalies | Volatilität | Volatility | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Monte-Carlo-Simulation | Prognoseverfahren | Forecasting model | CAPM | Kapitalmarktrendite | Capital market returns |
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