Essays on Idiosyncratic Volatility and Asset Pricing
In this thesis, I study three aspects of idiosyncratic volatility. First, I examine the relation between idiosyncratic volatility and future stock returns. Next, I examine the share price effect and its interaction with the idiosyncratic volatility on stock returns. Finally, I examine the time serie...
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| Language: | en_ca |
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2010
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| Online Access: | http://hdl.handle.net/1807/24882 |