Future Realized Return, Firm-specific Risk and the Implied Expected Return
نویسندگان
چکیده
منابع مشابه
Firm Specific Risk and Return: Quantile Regression Application
The present study aims at investigating the relationship between firm specific risk and stock return using cross-sectional quantile regression. In order to study the power of firm specific risk in explaining cross-sectional return, a combination of Fama-Macbeth (1973) model and quantile regression is used. To this aim, a sample of 270 firms listed in Tehran Stock Exchange during 1999-2010 was i...
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ژورنال
عنوان ژورنال: Abacus
سال: 2017
ISSN: 0001-3072
DOI: 10.1111/abac.12109