Is information risk priced? Evidence from abnormal idiosyncratic volatility
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DOI: 10.1016/j.jfineco.2019.06.013
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More about this item
Keywords
Information risk; Idiosyncratic volatility; Earnings announcement; Expected returns;All these keywords.
JEL classification:
- G00 - Financial Economics - - General - - - General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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