Nguyen, Ha; Lan, Yihui; Sirimon Treepongkaruna - In: Journal of Accounting Literature 46 (2023) 2, pp. 277-292
authors decompose the relative measure into two components: (i) absolute idiosyncratic volatility and (ii) systematic … idiosyncratic volatility. The results are robust after controlling for size, BM and other risk characteristics using a double … on relative idiosyncratic volatility or on systematic volatility, but find a negative return sorted on absolute …