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...

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Autores principales:	Seyed Reza Tabatabaei Poudeh, Sungchul Choi, Chengbo Fu
Formato:	Artigo
Lenguaje:	Inglês
Publicado:	MDPI AG 2022-03-01
Colección:	Risks
Materias:	COVID-19 idiosyncratic volatility stock returns return reversal
Acceso en línea:	https://www.mdpi.com/2227-9091/10/3/57
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!