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Dissecting the idiosyncratic volatility anomaly · Study

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ArticleDissecting the idiosyncratic volatility anomaly

George J. Jiang2020

Article2020

Dissecting the idiosyncratic volatility anomaly

George J. Jiang · Danielle Xu · Tong Yao

23 citations·0/0 files stored·Journal of Empirical Finance

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

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References

1997On Persistence in Mutual Fund Performance 1973Risk, Return, and Equilibrium: Empirical Tests 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 2014A five-factor asset pricing model 2006The Cross‐Section of Volatility and Expected Returns 1996Do Stock Prices Fully Reflect Information in Accruals and Cash Flows About Future Earnings?n.d.Editor's Choice Digesting Anomalies: An Investment Approach

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Year2020

Typearticle

Published2020-10-28

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations23

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jempfin.2020.10.004

openalex_workW3122851685

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