A novel explanation for idiosyncratic volatility anomaly: an asset decomposition perspective

DOI10.1016/j.econlet.2021.109994zbMath1471.91505OpenAlexW3180971494MaRDI QIDQ1984493

Wei Wan, Qun Zhang, Hao Liu, Yue Chen

Publication date: 16 September 2021

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2021.109994

zbMATH Keywords

stock returngrowth optionsidiosyncratic volatility anomaly

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Cites Work

• A unified beta pricing theory
• Common risk factors in the returns on stocks and bonds