Stochastic idiosyncratic cash flow risk and real options: implications for stock returns
From MaRDI portal
Publication:508411
DOI10.1016/j.jet.2016.11.005zbMath1400.91642MaRDI QIDQ508411
Harjoat S. Bhamra, Kyung Hwan Shim
Publication date: 10 February 2017
Published in: Journal of Economic Theory (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10044/1/42733
asset pricing; stochastic volatility; real options; regime-switching; mixed jump-diffusion; stock return and idiosyncratic volatility
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G50: Corporate finance (dividends, real options, etc.)
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