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Keywords: Generalized method of moments with a common shock
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Journal Articles
Expected cross-sectional stock return idiosyncratic volatility and stock delistings
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Journal:
Journal of Economic Studies
Journal of Economic Studies (2025) 52 (7): 1321–1337.
Published: 13 December 2024
...-sectional idiosyncratic stock return volatility at the annual frequency in the setting of an Inter-temporal Capital Asset Pricing Model model by applying a Generalized Method of Moments with a Common Shock. Findings We find that the number of stock issues delisted from exchanges have a significant...
Includes: Supplementary data
