کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7373972 1479787 2014 16 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Excess volatility and the cross-section of stock returns
ترجمه فارسی عنوان
نوسانات بیش از حد و مقطع بازده سهام
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
We document a reliable positive relation between excess volatility and the cross-section of stock returns over the sample period of 1963 to 2010. Significantly positive differentials have been found between the two decile portfolios with the largest and the least excess volatility, under all the situations we have examined. Size, value, and momentum effects cannot explain our empirical results. Likewise they cannot be explained by liquidity, bid-ask bounce, and risk-aversion-related inventory effects.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: The North American Journal of Economics and Finance - Volume 27, January 2014, Pages 1-16
نویسندگان
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