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Asset Volatility

Correia, Maria M. - 2017

We examine whether fundamental measures of volatility are incremental to market based measures of volatility in (i) predicting bankruptcies (out of sample), (ii) explaining cross-sectional variation in credit spreads, and (iii) explaining future credit excess returns. Our fundamental measures of...

Persistent link: https://www.econbiz.de/10012973727