Risk appetite, idiosyncratic volatility and expected returns
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DOI: 10.1016/j.irfa.2019.101372
Abstract: Abstract This paper examines the variations in idiosyncratic volatility in stock returns over time, and evaluates the role of investor sentiment in explaining these variations. This study uses Fama and French's (2015) 5-factor model to… read more here.
Keywords: appetite idiosyncratic; risk appetite; volatility; volatility expected ... See more keywords