A Study on the Existence of a Low Idiosyncratic Volatility Premium on the Cross-section of Share Returns on the JSE

A Study on the Existence of a Low Idiosyncratic Volatility Premium on the Cross-section of Share Returns on the JSE

Abstracts in English, Afrikaans and Sesotho === As one of the renowned anomalies in modern investment theory, the low idiosyncratic volatility anomaly may be the most bewildering and captivating of them all. The anomaly defies the traditional asset pricing theories of modern portfolio theory, which...

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Bibliographic Details
Main Author: Nogueira, Miguel
Other Authors: Makina, D.
Format: Others
Language:en
Published: 2021
Subjects:
Volatility
Idiosyncratic Risk
Systematic Risk
Quintile
Winsorisation
Gestadigheid
Idiosinkratiese risiko
Sistematiese risiko
Kwintiel
Winsorisering
Ho hloka botsitso
Kotsi ya letsete
Kotsi ya mebaraka
Dihlopha tse hlano tse arohaneng tse ka ajwang ho latela tekanyetso
Phetolo ya dipalo-palo ka ho fokotsa ditekanyetso tse feteletseng
Online Access:http://hdl.handle.net/10500/27827

Internet

http://hdl.handle.net/10500/27827

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