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Sources of contrarian profits in the Japanese stock market

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Special issue to honor Jegadeesh and Titman's (1993) landmarked momentum paper : preface and selective views on empirical asset pricing research in emerging markets

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The Fu (2009) positive relation between idiosyncratic volatility and expected returns is due to look-ahead bias

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The Fu (2009) Positive Relation between Idiosyncratic Volatility and Expected Returns Is Due to Look-Ahead Bias

Park, Seongkyu; Wei, K. C. John; Zhang, Linti - 2020

Expected idiosyncratic volatility and its positive relation to expected returns of Fu (2009) can be closely replicated, but only when we include information up to time t to estimate the idiosyncratic volatility at time t. Since this involves look-ahead bias, we re-estimate expected idiosyncratic...

Persistent link: https://www.econbiz.de/10012846905