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Keywords: Commodity futures
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Journal Articles
Managerial Finance (2023) 49 (10): 1641–1672.
Published: 25 April 2023
...Liu Hong; Tianpeng Zhou Purpose This paper aims to propose an alternative method to measure idiosyncratic volatility and test whether the idiosyncratic volatility puzzle holds in commodity futures markets. Design/methodology/approach This paper proposes a partially new measure of idiosyncratic...

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