How Does Systematic Risk Impact Stocks ? A Study On the French Financial Market
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- Hayette Gatfaoui, 2005. "How does systematic risk impact stocks ? A study on the French financial market," Working Papers hal-00605035, HAL.
- Gatfaoui Hayette, 2004. "How Does Systematic Risk Impact Stocks? A Study On the French Financial Market," Finance 0404003, University Library of Munich, Germany.
- Hayette Gatfaoui, 2007. "How Does Systematic Risk Impact Stocks? A Study on the French Financial Market," Post-Print hal-00589908, HAL.
References listed on IDEAS
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- Malkiel, Burton & Campbell, John & Lettau, Martin & Xu, Yexiao, 2001. "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," Scholarly Articles 3128707, Harvard University Department of Economics.
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More about this item
KeywordsCall pricing Granger causality implied volatility option pricing systematic risk;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2003-08-31 (All new papers)
- NEP-FMK-2003-08-31 (Financial Markets)
- NEP-RMG-2003-08-31 (Risk Management)
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