High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence
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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,
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美国国家经济研究局创建时间：
2008-01-01
