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arbitrage risk represented by idiosyncratic volatility (IVOL) explains the negative relation between IVOL and average return …
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explains the negative relation between idiosyncratic volatility (IVOL) and average return. The IVOL effect is negative among …
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explains the negative relation between idiosyncratic volatility (IVOL) and average return. The IVOL effect is negative among …
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with idiosyncratic volatility (IVOL). The relation between IVOL and alpha is positive among underpriced stocks but negative …
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A four-factor model with two “mispricing” factors, in addition to market and size factors, accommodates a large set of anomalies better than notable four- and five-factor alternative models. Moreover, our size factor reveals a small-firm premium nearly twice usual estimates. The mispricing...
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