Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle
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下载链接：
https://www.nber.org/papers/w18560
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资源简介：
Short selling, as compared to purchasing, faces greater risks and other potential impediments. This arbitrage asymmetry explains the negative relation between idiosyncratic volatility (IVOL) and average return. The IVOL effect is negative among overpriced stocks but positive among underpriced stocks
提供机构：
美国国家经济研究局
创建时间：
2012-11-01
