University of Southern California · 2009-06-01 · Founder-CEO status does not have much impact on...

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Transcript of University of Southern California · 2009-06-01 · Founder-CEO status does not have much impact on...

Page 1: University of Southern California · 2009-06-01 · Founder-CEO status does not have much impact on idiosyncratic volatility. These findings are robust across different idiosyncratic
Page 2: University of Southern California · 2009-06-01 · Founder-CEO status does not have much impact on idiosyncratic volatility. These findings are robust across different idiosyncratic
Page 3: University of Southern California · 2009-06-01 · Founder-CEO status does not have much impact on idiosyncratic volatility. These findings are robust across different idiosyncratic
Page 4: University of Southern California · 2009-06-01 · Founder-CEO status does not have much impact on idiosyncratic volatility. These findings are robust across different idiosyncratic
Page 5: University of Southern California · 2009-06-01 · Founder-CEO status does not have much impact on idiosyncratic volatility. These findings are robust across different idiosyncratic
Page 6: University of Southern California · 2009-06-01 · Founder-CEO status does not have much impact on idiosyncratic volatility. These findings are robust across different idiosyncratic
Page 7: University of Southern California · 2009-06-01 · Founder-CEO status does not have much impact on idiosyncratic volatility. These findings are robust across different idiosyncratic
Page 8: University of Southern California · 2009-06-01 · Founder-CEO status does not have much impact on idiosyncratic volatility. These findings are robust across different idiosyncratic
Page 9: University of Southern California · 2009-06-01 · Founder-CEO status does not have much impact on idiosyncratic volatility. These findings are robust across different idiosyncratic
Page 10: University of Southern California · 2009-06-01 · Founder-CEO status does not have much impact on idiosyncratic volatility. These findings are robust across different idiosyncratic
Page 11: University of Southern California · 2009-06-01 · Founder-CEO status does not have much impact on idiosyncratic volatility. These findings are robust across different idiosyncratic
Page 12: University of Southern California · 2009-06-01 · Founder-CEO status does not have much impact on idiosyncratic volatility. These findings are robust across different idiosyncratic
Page 13: University of Southern California · 2009-06-01 · Founder-CEO status does not have much impact on idiosyncratic volatility. These findings are robust across different idiosyncratic
Page 14: University of Southern California · 2009-06-01 · Founder-CEO status does not have much impact on idiosyncratic volatility. These findings are robust across different idiosyncratic
Page 15: University of Southern California · 2009-06-01 · Founder-CEO status does not have much impact on idiosyncratic volatility. These findings are robust across different idiosyncratic
Page 16: University of Southern California · 2009-06-01 · Founder-CEO status does not have much impact on idiosyncratic volatility. These findings are robust across different idiosyncratic

High Idiosyncratic Volatility and Low Returns: International ......High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence Andrew Ang, Robert J. Hodrick,

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Implied Idiosyncratic Volatility and Stock Return ...idiosyncratic risk and stock returns. [10] explores the stock returns prediction by the information content of im-plied volatility

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TWO ESSAYS ON THE LOW VOLATILITY ANOMALY By Timothy ...doc.xueqiu.com/148f1fbb831543fc902a4611.pdf · measures of total and idiosyncratic volatility produce the largest risk-adjusted

TWO ESSAYS ON THE LOW VOLATILITY ANOMALY By Timothy ...doc.xueqiu.com/148f1fbb831543fc902a4611.pdf · measures of total and idiosyncratic volatility produce the largest risk-adjusted

The Common Factor in Idiosyncratic Volatility ......The common factor in fundamental volatility follows the same low frequency patterns as the common factor in idiosyncratic return

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DYNAMIC EFFECTS OF IDIOSYNCRATIC VOLATILITY …web.business.queensu.ca/Faculty/fmoneta/Seminar/2012_2013/KNF Ful… · dynamic effects of idiosyncratic volatility and ... dynamic

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Pricing of Volatility Risk in REITsidiosyncratic volatility sorted long-short portfolios of international stocks disappear after controlling for exposure to the idiosyncratic volatility

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Idiosyncratic Volatility, Momentum, Liquidity, and ... · Idiosyncratic Volatility, Momentum, Liquidity, and Expected Stock Returns in Developed and Emerging Markets Lorne N. Switzer*

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