Skewness Idiosyncratic Volatility And Expected Returns
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Skewness, Idiosyncratic Volatility, and Expected Returns
Author | : Nishad Kapadia |
Publisher | : ProQuest |
Total Pages | : 76 |
Release | : 2000 |
Genre | : |
ISBN | : 9780549128618 |
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A spurious positive relation between EGARCH estimates of expected month t idiosyncratic volatility and month t stock returns arises when the month t return is i