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R 2 and idiosyncratic risk are not interchangeable

Li, Bin; Rajgopal, Shivaram; Venkatachalam, Mohan - In: The accounting review : a publication of the American … 89 (2014) 6, pp. 2261-2295

Persistent link: https://www.econbiz.de/10010469131

Coherent-price systems and uncertainty-neutral valuation

Beißner, Patrick - In: Risks : open access journal 7 (2019) 3/98, pp. 1-18

This paper considers fundamental questions of arbitrage pricing that arises when the uncertainty model incorporates … ambiguity about risk. This additional ambiguity motivates a new principle of risk- and ambiguity-neutral valuation as an … extension of the paper by Ross (1976) (Ross, Stephen A. 1976. The arbitrage theory of capital asset pricing. Journal of Economic …

Persistent link: https://www.econbiz.de/10012126423

Can currency-based risk factors help forecast exchange rates?

Ahmed, Shamim; Liu, Xiaoquan; Valente, Giorgio - In: International journal of forecasting 32 (2016) 1, pp. 75-97

Persistent link: https://www.econbiz.de/10011596451

Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle

Stambaugh, Robert F. - 2012

Short selling, as compared to purchasing, faces greater risks and other potential impediments. This arbitrage asymmetry …

Persistent link: https://www.econbiz.de/10013097661

Does uncertainty affect the limits of arbitrage? : evidence from the U.S. stock markets

Chen, Weihua; Mamon, Rogemar; Xiong, Heng; Zeng, Pingping - In: The North American journal of economics and finance : a … 74 (2024), pp. 1-19

Persistent link: https://www.econbiz.de/10015134971

Arbitrage asymmetry and the idiosyncratic volatility puzzle

Stambaugh, Robert F.; Yu, Jianfeng; Yuan, Yu - 2012

Persistent link: https://www.econbiz.de/10009680904

Retail investors and the idiosyncratic volatility puzzle : evidence from the Korean stock market

Kang, Jangkoo; Lee, Eunmee; Sim, Myounghwa - In: Asia-Pacific journal of financial studies 43 (2014) 2, pp. 183-222

Persistent link: https://www.econbiz.de/10010408036

Equity anomalies and idiosyncratic risk around the world

Fan, Steve; Opsal, Scott; Yu, Linda - In: Multinational finance journal : MF ; quarterly … 19 (2015) 1/2, pp. 33-75

Persistent link: https://www.econbiz.de/10011434193

The relationship between conditional value at risk and option prices with a closed-form solution

Mitra, Sovan - In: The European journal of finance 21 (2015) 4/6, pp. 400-425

Persistent link: https://www.econbiz.de/10010528975

Arbitrage asymmetry and the idiosyncratic volatility puzzle

Stambaugh, Robert F.; Yu, Jianfeng; Yuan, Yu - In: The journal of finance : the journal of the American … 70 (2015) 5, pp. 1903-1948

Persistent link: https://www.econbiz.de/10011408672