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Keywords: Time-varying alpha and betas
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Journal Articles
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2022) 23 (4): 403–417.
Published: 31 May 2022
... (1987) , who explains that investors are compensated for bearing an additional risk such as idiosyncratic risk. Idiosyncratic volatility Stock returns Time-varying alpha and betas Conditional model Stock returns prediction The Modern Portfolio Theory (MPT) suggests that idiosyncratic...
Includes: Supplementary data
