Article ID Journal Published Year Pages File Type
5089115 Journal of Banking & Finance 2013 15 Pages PDF
Abstract
► We develop a continuous time model of firm valuation under incomplete information. ► Expected returns are affected by forecast errors and idiosyncratic volatility. ► We find support for our model on US data over the period January 1982-December 2007.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Incomplete information, idiosyncratic volatility and stock returns
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