Idiosyncratic risk and the cross-section of stock returns: the role of mean-reverting idiosyncratic volatility

Stanislav Bozhkov, Habin Lee, Uthayasankar Sivarajah, Stella Despoudi, Monomita Nandy. Idiosyncratic risk and the cross-section of stock returns: the role of mean-reverting idiosyncratic volatility. Annals OR, 294(1):419-452, 2020. [doi]

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