High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence
收藏NBER2008-01-01 更新2025-01-04 收录
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https://www.nber.org/papers/w13739
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资源简介：
Stocks with recent past high idiosyncratic volatility have low future average returns around the world. Across 23 developed markets, the difference in average returns between the extreme quintile portfolios sorted on idiosyncratic volatility is -1.31% per month, after controlling for world market,
提供机构：
美国国家经济研究局
创建时间：
2008-01-01
