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aggregate idiosyncratic volatility augmented Dickey-Fuller test average R2 bubble period business group CAPM corporate bankruptcies corporate restructuring crash period creative destruction David Flath decrease duo-factor model Durnev Economic excess returns fall in firm-level firm-level volatility firms with main firms without main Frank Packer Fumio Hayashi Hugh Patrick Idio idiosyncratic components idiosyncratic risk increase individual stock returns Industry information efficiency measures Investment investors Japan's Financial Japanese economy Japanese equity market Japanese Financial System Japanese market Japanese stock Jeffrey Garten Journal of Finance keiretsu firms Lettau Main Bank System market information efficiency market model market volatility measures of idiosyncratic Morck multifactor non-keiretsu firms number of bankruptcies number of factors P-value paper reduction in firm-level regress Return and Volume returns and turnover root mean square Schon Beechler sharp fall Shigeyuki Goto stock market systematic risk Tokyo Stock Exchange trading volume volatility and turnover Wurgler Xu and Malkiel Yasushi Hamao Yeung