The dual effect of idiosyncratic volatility on stock pricing and return
This study aims to examine what underlies the estimated relation between idiosyncratic volatility and realized return. Idiosyncratic volatility has a dual effect on stock pricing: it not only affects investors' expected return but also affects the efficiency of stock price in reflecting its...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Emerald Publishing
2022-06-01
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| Series: | China Accounting and Finance Review |
| Subjects: | |
| Online Access: | https://www.emerald.com/insight/content/doi/10.1108/CAFR-02-2022-0009/full/html |