Two essays on the impact of idiosyncratic risk on asset returns
In this dissertation, I explore the impact of idiosyncratic risk on asset returns. The first essay examines how idiosyncratic risk affects the cross-section of stock returns. I use an exponential GARCH model to forecast expected idiosyncratic volatility and employ a combination of the size effect, v...
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| Format: | Others |
| Language: | English |
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2011
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| Online Access: | http://hdl.handle.net/2152/9661 |