Dissecting the idiosyncratic volatility anomaly

Journal of Empirical Finance - Tập 59 - Trang 193-209 - 2020
Linda H. Chen1, George J. Jiang2, Danielle D. Xu3, Tong Yao4
1Department of Accounting, College of Business and Economics, University of Idaho, Moscow, ID 83844-3161, USA
2Gary P. Brinson Chair of Investment Management, Department of Finance and Management Science, Todd Hall Addition 480A, College of Business, Washington State University, Pullman, WA, 99164-4746, USA
3School of Business Administration, Gonzaga University, Spokane, WA 99258, USA
4Department of Finance, Henry B. Tippie College of Business, University of Iowa, USA

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