Global idiosyncratic risk moments
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DOI: 10.1007/s00181-017-1301-y
Abstract: We investigate a global cross-sectional relation between idiosyncratic risk moments and expected stock returns by suggesting three global idiosyncratic volatility, skewness, and kurtosis risk factors. We also suggest two global small minus big and high… read more here.
Keywords: risk; risk moments; risk factors; idiosyncratic risk ... See more keywords