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

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

@article{16df963827a842f49d3f03581bc749de,

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",

year = "2020",

month = nov,

day = "30",

doi = "10.1007/s10479-018-2846-7",

language = "English",

volume = "294",

pages = "419--452",

journal = "Annals of Operations Research",

issn = "0254-5330",

publisher = "Springer Netherlands",

number = "1-2",

}

TY - JOUR

T1 - Idiosyncratic risk and the cross-section of stock returns

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

Y1 - 2020/11/30

KW - Business and management studies

U2 - 10.1007/s10479-018-2846-7

DO - 10.1007/s10479-018-2846-7

M3 - Article

SN - 0254-5330

VL - 294

SP - 419

EP - 452

JO - Annals of Operations Research

JF - Annals of Operations Research

IS - 1-2

ER -