Relationship between Idiosyncratic Volatility and Return Volatility: Recent trend and dynamics
博士 === 元智大學 === 管理學院博士班 === 101 === This study tests the relationship between stock return volatility and idiosyncratic volatility. Using asset pricing models, including CAPM, Fama-French and Q-factor models, we find that idiosyncratic volatility constitutes great portion of return volatility. Data...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Online Access: | http://ndltd.ncl.edu.tw/handle/00850650815652006304 |