Kowalke, Leon - In: Junior Management Science (JUMS) 7 (2022) 4, pp. 945-985
In this study, I investigate the robustness of the idiosyncratic volatility puzzle to the configuration of the research design. Using the regression- as well as the portfolio-based concept, I start with the replication of the idiosyncratic volatility puzzle approving the findings of Ang et al....