Misreaction or misspecification? A re-examination of volatility anomalies
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- Chabi-Yo, Fousseni, 2011. "Explaining the idiosyncratic volatility puzzle using Stochastic Discount Factors," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 1971-1983, August.
- Xiao, Yuewen & Zhao, Jing, 2021. "Price dynamics of individual stocks: Jumps and information," Finance Research Letters, Elsevier, vol. 38(C).
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Keywords
Volatility anomaly Model misspecification Market misreaction Model-free implied volatility Market efficiency;Statistics
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