Cross sectional moments and portfolio returns: Evidence for select emerging markets
Research does not indicate a consensus on the relationship between idiosyncratic volatility and asset returns. Moreover, the role of cross sectional higher order moments in predicting market returns is relatively unexplored. We show that the cross sectional volatility measure suggested by Garcia et ...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2016-09-01
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| Series: | IIMB Management Review |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S0970389616300453 |