What Can We Learn from a Cross-Section of Returns? An Investigation of Idiosyncratic Volatility Range
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KeywordsCommon shock; Systematic risk; Cross-sectional returns; Idiosyncratic volatility; Generalized method of moments;
- C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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