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Persistent link: https://www.econbiz.de/10010410375
Using options-implied variance, a forward-looking measure of conditional variance, we revisit the debate on the idiosyncratic risk-return relation. In both cross-sectional (for individual stocks) and time-series (for the market index) regressions, we find a negative relation between...
Persistent link: https://www.econbiz.de/10010785396