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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

Masterarbeit, 2018

32 Seiten, Note: 1.0

Lasse Homann (Autor:in)

Leseprobe

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

Ende der Leseprobe aus 32 Seiten

Details

Titel: The negative relationship between the cross-section of expected returns and lagged idiosyncratic volatility. The German stock market 1990-2016
Hochschule: Gottfried Wilhelm Leibniz Universität Hannover (Institute of Financial Markets)
Note: 1.0
Autor: Lasse Homann (Autor:in)
Jahr: 2018
Seiten: 32
Katalognummer: V540162
ISBN (eBook): 9783346153210
ISBN (Buch): 9783346153227
Sprache: Englisch
Schlagworte: idiosyncratic volatility, cross-section of stock returns, market frictions

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

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