Idiosyncratic Risk; An Empirical Analysis, with Implications for the Risk of Relative-Value Trading Strategies
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KeywordsCapital markets; Idiosyncratic Risk; Dispersion; Risk Management; Hedge Funds; equity markets; autocorrelation; hedging; equation; correlation;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2000-01-11 (All new papers)
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