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Idiosyncratic Volatility Covariance and Expected Stock Returns
Web23 mei 2024 · Beta is the return generated from a portfolio that can be attributed to overall market returns. Exposure to beta is equivalent to exposure to systematic risk. Alpha is the portion of a portfolio's ... Web1 aug. 2009 · Since the seminal work of Ang, Hodrick, Xing, and Zhang (2006) on … do whitefish blastula have a cell wall
Time-Varying Risk and the Relation between Idiosyncratic Risk and …
Web18 nov. 2024 · From 2011 to 2024, value strategies, as proxied by the MSCI World Enhanced Value Index, 1 underperformed the MSCI World Index by 4.1% annually. A significant portion (2.3 percentage points) was attributed to idiosyncratic, or stock-specific return. This means 2.3% of the underperformance of the index could not be explained … Web1 mei 2015 · A simple model can therefore explain book-to-market and size anomalies, as well as the negative relation between idiosyncratic volatility and stock returns. Empirically, we find that anomalies are more pronounced for … Web7 jan. 2024 · In traditional financial literature, risk and return are positively related to each … ckc springwood