Idiosyncratic volatility and the expected stock returns for exploring the relationship with panel threshold regression
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Publication:356766
DOI10.1007/s10690-012-9161-0zbMath1270.91087OpenAlexW1970418993MaRDI QIDQ356766
Publication date: 26 July 2013
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10690-012-9161-0
idiosyncratic riskexpected stock returnFama and French multifactor modelpanel threshold regression modelTaiwanvolatility index
Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Portfolio theory (91G10)
Cites Work
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- Common risk factors in the returns on stocks and bonds
- Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
- Economic tracking portfolios