The common factor in idiosyncratic volatility : quantitative asset pricing implications

Bernard Herskovic, Bryan Kelly, Hanno Lustig, Stijn Van Nieuwerburgh

Year of publication:	February 2016
Authors:	Herskovic, Bernard ; Kelly, Bryan T. ; Lustig, Hanno ; Nieuwerburgh, Stijn van
Published in:	Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 187118-3. - Vol. 119.2016, 2, p. 249-283
Subject:	Firm volatility \| Idiosyncratic risk \| Cross section of stock returns \| Volatilität \| Volatility \| Risiko \| Risk \| Börsenkurs \| Share price \| Schätzung \| Estimation \| CAPM \| Kapitaleinkommen \| Capital income \| Kapitalmarktrendite \| Capital market returns \| Theorie \| Theory \| Cash Flow \| Cash flow

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