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Idiosyncratic Risk - An Empirical Analysis, with Implications for the Risk of Relative-Value Trading Strategies

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Author Info
Anthony J. Richards

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Abstract

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Publisher Info
Paper provided by International Monetary Fund in its series IMF Working Papers with number 99/148.

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Date of creation: 01 Nov 1999
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Handle: RePEc:imf:imfwpa:99/148

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Related research
Keywords: Fiscal management ; Capital markets ; Hedge funds ; Economic models ;

Cited by:
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  1. Md. Arifur Rahman, 2007. "The Information Content of Cross-sectional Volatility for Future Market Volatility: Evidence from Australian Equity Returns," Frontiers in Finance and Economics, Lille Graduate School of Management, vol. 4(1), pages 91-124, June. [Downloadable!]
  2. Timotheos Angelidis & Nikolaos Tessaromatis, 2007. "Idiosyncratic Risk in Greece: Properties and Portfolio Implications," Working Papers 0001, University of Peloponnese, Department of Economics. [Downloadable!]
  3. Michael E. Drew & Mirela Mallin & Tony Naughton & Madhu Veeraraghavan, 2004. "Equity Premium: - Does it exist? Evidence from Germany and United Kingdom," School of Economics and Finance Discussion Papers and Working Papers Series 170, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
Statistics
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This page was last updated on 2009-11-20.


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