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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...

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Detalles Bibliográficos
Autores principales: Blau, Benjamin M., Whitby, Ryan J.
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Public Library of Science 2017
Materias:
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

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