Is idiosyncratic volatility priced? Evidence from the Shanghai Stock Exchange

International Review of Financial Analysis

Volumn 13, Issue 3, 2004, Pages 349-366

  Drew, Michael E ^a,b,c   Naughton, Tony ^a,b,c   Veeraraghavan, Madhu ^a,b,c  

^a QUEENSLAND UNIVERSITY OF TECHNOLOGY   (Australia)

^b RMIT UNIVERSITY   (Australia)

^c UNIVERSITY OF AUCKLAND BUSINESS SCHOOL   (New Zealand)

Author keywords

Asset pricing; China; Firm size; Idiosyncratic volatility

Indexed keywords

EID: 2942533920     PISSN: 10575219     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.irfa.2004.02.027     Document Type: Article

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