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Idiosyncratic volatility puzzle: influence of macro-finance factors |
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| Authors: | Aslanidis Nektarios Christiansen Charlotte Lambertides Neophytos Savva Christos S |
| Institution: | 1.Department d’Economia, CREIP, Universitat Rovira i Virgili, Avinguda Universitat 1, 43204, Reus, Catalonia, Spain ;2.CREATES, Department of Economics and Business Economics, School of Business and Social Sciences, Aarhus University, Fuglesangs Alle 4, 8210, Aarhus V, Denmark ;3.Lund University, Lund, Sweden ;4.Department of Commerce, Finance and Shipping, Cyprus University of Technology, PO Box 50329, 3603, Limassol, Cyprus ; |
| Abstract: | Review of Quantitative Finance and Accounting - We analyze the cross-sectional relation between expected idiosyncratic volatility and stock returns. The expected idiosyncratic volatility is... |
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