Idiosyncratic risk and the cross-section of stock returns: the role of mean-reverting idiosyncratic volatility

Stanislav Bozhkov, Habin Lee, Uthayasankar Sivarajah, Stella Despoudi, Monomita Nandy

Research output: Contribution to journal › Article › peer-review

Original language	English
Pages (from-to)	419-452
Journal	Annals of Operations Research
Volume	294
Issue number	1-2
Early online date	6 Apr 2018
DOIs	https://doi.org/10.1007/s10479-018-2846-7
Publication status	Published - 30 Nov 2020

Keywords

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title = "Idiosyncratic risk and the cross-section of stock returns: the role of mean-reverting idiosyncratic volatility",

keywords = "Business and management studies",

author = "Stanislav Bozhkov and Habin Lee and Uthayasankar Sivarajah and Stella Despoudi and Monomita Nandy",

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T2 - the role of mean-reverting idiosyncratic volatility

AU - Bozhkov, Stanislav

AU - Lee, Habin

AU - Sivarajah, Uthayasankar

AU - Despoudi, Stella

AU - Nandy, Monomita

PY - 2020/11/30

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DO - 10.1007/s10479-018-2846-7

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SN - 0254-5330

VL - 294

SP - 419

EP - 452

JO - Annals of Operations Research

JF - Annals of Operations Research

IS - 1-2

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