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Idiosyncratic Volatility, Aggregate Volatility Risk, and the Cross-Section of Returns
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Idiosyncratic Volatility, Aggregate Volatility Risk, and the Cross-Section of Returns
Idiosyncratic Volatility, Aggregate Volatility Risk, and the Cross-Section of Returns
AB
Alexander Barinov
Alexander Barinov
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1 January 2009
preprint
Published by
Elsevier BV
in
SSRN Electronic Journal
https://doi.org/10.2139/ssrn.1358692
Abstract
The paper provides a unifying explanation for the underperformance of small growth firms, the new issues puzzle, the value premium, and the idiosyncratic volati
Keywords
AGGREGATE VOLATILITY
UNIFYING
PREMIUM
PUZZLE
EXPLANATION
UNDERPERFORMANCE
RETURNS
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Open Access
Cited by 3 articles