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Explaining the idiosyncratic volatility puzzle using Stochastic Discount Factors · Study

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ArticleExplaining the idiosyncratic volatility puzzle using Stochastic Discount Factors

Fousseni Chabi-Yo2011

Article2011

Explaining the idiosyncratic volatility puzzle using Stochastic Discount Factors

Fousseni Chabi-Yo

25 citations·0/0 files stored·Journal of Banking & Finance

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1993Common risk factors in the returns on stocks and bonds 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1987A Simple Model of Capital Market Equilibrium with Incomplete Information 2006The Cross‐Section of Volatility and Expected Returns 2000Conditional Skewness in Asset Pricing Tests 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*2009Expected Stock Returns and Variance Risk Premia

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2018Idiosyncratic risk and the cross-section of stock returns: the role of mean-reverting idiosyncratic volatility

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Year2011

Typearticle

Published2011-02-02

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations25

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jbankfin.2011.01.002

openalex_workW2040733715

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