Idiosyncratic volatility and expected return in the Australian market
After Ang, Hodrick, Xing and Zhang (2006) found a negative relationship between idiosyncratic volatility and return, researchers have extensively debated the relationship between the two. Previous literature however has been limited to cross-sectional analyses which can be biased if firm and time ef...
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| Format: | Others |
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Auckland University of Technology,
2010-10-27T00:31:47Z.
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| Online Access: | Get fulltext |