Idiosyncratic volatility, stock market volatility, and expected stock returns

Journal of Business and Economic Statistics

Volumn 24, Issue 1, 2006, Pages 43-56

  Guo, Hui ^a   Savickas, Robert ^b  

^a FEDERAL RESERVE BANK OF ST LOUIS   (United States)

^b GEORGE WASHINGTON UNIVERSITY   (United States)

Author keywords

Consumption wealth ratio; Dispersion of opinion; Intertemporal capital asset pricing model; Out of sample forecast; Stock market risk return relation; Stock return predictability

Indexed keywords

EID: 30744467677     PISSN: 07350015     EISSN: None     Source Type: Journal    
DOI: 10.1198/073500105000000180     Document Type: Review

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