Idiosyncratic risk and the cross-section of stock returns: the role of mean-reverting idiosyncratic volatility

DOI10.1007/s10479-018-2846-7zbMath1455.91244OpenAlexW2795900860WikidataQ59347335 ScholiaQ59347335MaRDI QIDQ827252

Monomita Nandy, Stella Despoudi, Habin Lee, Uthayasankar Sivarajah, Stanislav Bozhkov

Publication date: 7 January 2021

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-018-2846-7

zbMATH Keywords

idiosyncratic riskcross-section stock returnsmean-reverting volatilityMincer-Zarnowitz regressions

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Financial markets (91G15)

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