The common factor in idiosyncratic volatility : quantitative asset pricing implications
Year of publication: |
February 2016
|
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Authors: | Herskovic, Bernard ; Kelly, Bryan T. ; Lustig, Hanno ; Nieuwerburgh, Stijn van |
Published in: |
Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 187118-3. - Vol. 119.2016, 2, p. 249-283
|
Subject: | Firm volatility | Idiosyncratic risk | Cross section of stock returns | Volatilität | Volatility | CAPM | Kapitaleinkommen | Capital income | Schätzung | Estimation | Risikoprämie | Risk premium | Theorie | Theory | Risiko | Risk | Kapitalmarktrendite | Capital market returns | Börsenkurs | Share price |
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