The Short-Run and Long-Run Components of Idiosyncratic Volatility and Stock Returns.
Yunting LiuPublished in: Manag. Sci. (2022)
Keyphrases
- short run
- stock returns
- long run
- exchange rate
- financial time series
- stock price
- stock market
- chinese stock market
- developed countries
- cross sectional
- panel data
- financial markets
- stock data
- developing countries
- optimal policy
- average cost
- non stationary
- stock exchange
- garch model
- cash flow
- long term
- financial data
- markov chain
- data mining