Liquidity Biases and the Pricing of Cross-sectional Idiosyncratic Volatility
作者： Yufeng Han , David Lesmond
DOI: 10.1093/RFS/HHQ140
关键词:
摘要: … idiosyncratic volatility. Our empirical tests show that controlling for the bias eliminates the ability of idiosyncratic volatility … pricing ability of idiosyncratic volatility after exogenous shocks to …
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