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Keywords: Idiosyncratic skewness
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2021) 29 (1): 29–48.
Published: 22 March 2021
... volatility Idiosyncratic skewness G11 G12 Recent studies show that stock with the extremely positive returns in the past month (t − 1) experience negative returns this month (t). Bali et al. (2011) refers to the highest daily return of each stock for the previous month as “MAX...
