Idiosyncratic volatility, its expected variation, and the cross-section of stock returns
N Branger, H Hülsbusch… - Paris December 2018 …, 2018 - papers.ssrn.com
We show that the widely documented negative relation between idiosyncratic volatility
(IVOL) and expected returns can be explained by the mean reversion of stocks' idiosyncratic …
(IVOL) and expected returns can be explained by the mean reversion of stocks' idiosyncratic …