Does persistence in idiosyncratic risk proxy return-reversals
Understanding the return-reversal phenomenon observed to generate large abnormal profits under some stock market trading strategies is of considerable interest in finance. There is also much debate over the use of idiosyncratic risk as a predictor in asset pricing models when it is persistent. This...
| Published in: | Journal of Banking and Financial Economics |
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| Main Authors: | , |
| Format: | Article |
| Language: | English |
| Published: |
University of Warsaw
2017-06-01
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| Subjects: | |
| Online Access: | https://press.wz.uw.edu.pl/cgi/viewcontent.cgi?article=1061&context=jbfe |