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Range-based volatility, expected stock returns, and the low volatility anomaly
One of the foundations of financial economics is the idea that rational investors will discount stocks with more risk (volatility), which will result in a positive relation between risk and future returns. However, the empirical evidence is mixed when determining how volatility is related to future...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Public Library of Science
2017
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5708639/ https://www.ncbi.nlm.nih.gov/pubmed/29190652 http://dx.doi.org/10.1371/journal.pone.0188517 |