The Effect of COVID-19 on the Relationship between Idiosyncratic Volatility and Expected Stock Returns

This study examines the effect of the COVID-19 pandemic on the relationship between idiosyncratic volatility and expected stock returns. Using daily stock return data in the US market from the Center for Research in Security Prices (CRSP), we estimate monthly idiosyncratic volatility and investigate...

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Bibliographic Details
Published in:Risks
Main Authors: Seyed Reza Tabatabaei Poudeh, Sungchul Choi, Chengbo Fu
Format: Article
Language:English
Published: MDPI AG 2022-03-01
Subjects:
COVID-19
idiosyncratic volatility
stock returns
return reversal
Online Access:https://www.mdpi.com/2227-9091/10/3/57

Internet

https://www.mdpi.com/2227-9091/10/3/57

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