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題名:Stock Returns and Idiosyncratic Volatility: Evidence from India
書刊名:Academy of Taiwan Business Management Review
作者:Rajpal, Hanish
出版日期:2016
卷期:12:1
頁次:頁159-166
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:0
  • 點閱點閱:5
期刊論文
1.Malkiel, B. G.(2003)。Passive Investment Strategies and Efficient Markets。European Financial Management,9(1),1-10。  new window
2.Brandt, M. W.、Brav, A.、Graham, J. R.、Kumar, A.(2010)。The Idiosyncratic Volatility Puzzle: Time Trend or Speculative Episodes?。Review of Financial Studies,23(2),863-899。  new window
3.Ang, A.、Hodrick, R. J.、Xing, Y.、Zhang, X.(2009)。High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence。Journal of Financial Economics,91(1),1-23。  new window
4.Fink, J.、Fink, K. E.、Grullon, G.、Weston, J. P.(2010)。What Drove the Increase in Idiosyncratic Volatility during the Internet Boom?。Journal of Financial and Quantitative Analysis,45(5),1253-1278。  new window
5.Lehmann, Bruce N.(1990)。Residual risk revisited。Journal of Econometrics,45,71-97。  new window
6.Levy, Haim(1978)。Equilibrium in an imperfect market: A constraint on the number of securities in the portfolio。American Economic Review,68(4),643-658。  new window
7.Angelidis, T.、Tessaromatis, N.(2008)。Does idiosyncratic risk matter? Evidence from European stock markets。Applied Financial Economics,18,125-137。  new window
8.Bhootra, A.、Hur, J.(2015)。High idiosyncratic volatility and low returns: A prospect theory explanation。Financial Management,44(2),295-322。  new window
9.Chua, C. T.、Goh, J. C.、Zhang, Z.(2010)。Expected volatility, unexpected volatility and the cross-section of stock returns。Journal of Financial Research,33,103-23。  new window
10.Fazil, G.、Ipek, A.(2013)。Does idiosyncratic volatility matter in the emerging markets? Istanbul stock exchange evidence。Ekonomska Istrazivanja-Economic Research,26(3),133-150。  new window
11.Goyal, A.、Santa-Clara, P.(2003)。Idiosyncratic risk matter!。The Journal of Finance,58,975-1007。  new window
12.Gracia, R.、Gracia, D.、Martellini, L.(2014)。A model-free measure of aggregate idiosyncratic volatility and the prediction of market returns。Journal of Financial and Quantitative Analysis,49,1133-1165。  new window
13.Guo, H.、Kassa, H.、Ferguson, M. F.(2014)。On the relation between EGARCH idiosyncratic volatility and expected stock returns。Journal of Financial and Quantitative Analysis,49(1),271-296。  new window
14.Huang, W.、Liu, Q.、Rhee, S. G.、Zhang, L.(2010)。Return reversals, idiosyncratic risk, and expected returns。Review of Financial Studies,23(1),147-168。  new window
15.Sonmez, F.(2013)。Revisiting Idiosyncratic Volatility and Stock returns。Frontiers in Finance and Economics,10(1),1-29。  new window
16.Wang, M.(2013)。Idiosyncratic risk and expected returns: a panel data model with random effects。Applied Financial Economics,23(10),869-880。  new window
17.Zhang, C.(2010)。A Reexamination of the Causes of Time-Varying Stock Return Volatilities。Journal of Financial and Quantitative Analysis,45(3),663-684。  new window
18.Campbell, John Y.、Lettau, Martin、Malkiel, Burton G.、Xu, Yexiao(2001)。Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk。Journal of Finance,56(1),1-43。  new window
19.Lintner, J.(1965)。The Valuation of Risky Assets and The Selection of Risky Investments in Stock portfolios and Capital budgets。Review of Economics and Statistics,47(1),13-37。  new window
20.Bali, Turan G.、Cakici, Nusret(2008)。Idiosyncratic volatility and the cross section of expected returns?。Journal of Financial and Quantitative Analysis,43(1),29-58。  new window
21.Bali, Turan G.、Cakici, Nusret、Yan, Xuemin、Zhang, Zhe(2005)。Does idiosyncratic risk really matter?。Journal of Finance,60(2),905-929。  new window
22.Ferreira, Miguel A.、Laux, Paul A.(2007)。Corporate Governance, Idiosyncratic Risk, and Information Flow。The Journal of Finance,62(2),951-989。  new window
23.Fu, Fangjian(2009)。Idiosyncratic risk and the cross-section of expected stock returns。Journal of Financial Economics,91(1),24-37。  new window
24.Morck, Randall、Yeung, Bernard、Yu, Wayne(2000)。The Information Content of Stock Markets: Why Do Emerging Markets Have Synchronous Stock Price Movements?。Journal of Financial Economics,58(1/2),215-260。  new window
25.Merton, Robert C.(1987)。A simple model of capital market equilibrium with incomplete information。The Journal of Finance,42(3),483-510。  new window
26.Ang, Andrew、Hodrick, Robert J.、Xing, Yuhang、Zhang, Xiaoyan(2006)。The Cross-section of Volatility and Expected Returns。The Journal of Finance,61(1),259-299。  new window
27.Sharpe, William F.(1964)。Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk。The Journal of Finance,19(3),425-442。  new window
28.Fama, Eugene F.、French, Kenneth R.(1992)。The Cross-Section of Expected Stock Returns。The Journal of Finance,47(2),427-465。  new window
研究報告
1.Jian, M.、Wong, T.(2003)。Earnings management and tunneling through related party transactions: Evidence from Chinese corporate groups。  new window
2.Malkiel, B. G.、Xu, Y.(2006)。Idiosyncratic risk and security returns。Dallas, TX:Princeton University:University of Texas at Dallas。  new window
 
 
 
 
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