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The negative relationship between the cross-section of expected returns and lagged idiosyncratic volatility. The German stock market 1990-2016

Name: The negative relationship between the cross-section of expected returns and lagged idiosyncratic volatility. The German stock market 1990-2016
Price: 17.95 EUR
Availability: InStock
Author: Lasse Homann
ISBN: 9783346153227

Master's Thesis, 2018

32 Pages, Grade: 1.0

Lasse Homann (Author)

Excerpt

1 Introduction

2 Literature

3 Data

4 Methodology

5 Results
5.1 Estimating Idiosyncratic Volatility
5.2 Patterns in Average Returns January 1990 - June 2016
5.3 Patterns in Average Returns January 2003 - June 2016

6 Conclusion

7 Appendix
7.1 Portfolio Strategies January 1990 - June 2016
7.2 Portfolio Strategies January 2003 - June 2016

Excerpt out of 32 pages

Details

Title: The negative relationship between the cross-section of expected returns and lagged idiosyncratic volatility. The German stock market 1990-2016
College: University of Hannover (Institute of Financial Markets)
Grade: 1.0
Author: Lasse Homann (Author)
Year: 2018
Pages: 32
Catalog Number: V540162
ISBN (eBook): 9783346153210
ISBN (Book): 9783346153227
Language: English
Keywords: idiosyncratic volatility, cross-section of stock returns, market frictions

Quote paper: Lasse Homann (Author), 2018, The negative relationship between the cross-section of expected returns and lagged idiosyncratic volatility. The German stock market 1990-2016, Munich, GRIN Verlag, https://www.grin.com/document/540162

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