The Effect of COVID-19 on the Relationship between Idiosyncratic Volatility and Expected Stock Returns
This study examines the effect of the COVID-19 pandemic on the relationship between idiosyncratic volatility and expected stock returns. Using daily stock return data in the US market from the Center for Research in Security Prices (CRSP), we estimate monthly idiosyncratic volatility and investigate...
Gorde:
| Egile Nagusiak: | , , |
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| Formatua: | Artigo |
| Hizkuntza: | Inglês |
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MDPI AG
2022-03-01
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| Saila: | Risks |
| Gaiak: | |
| Sarrera elektronikoa: | https://www.mdpi.com/2227-9091/10/3/57 |
| Etiketak: |
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