Arbitrage risk and the cross-section of stock returns: Evidence from China
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DOI: 10.1016/j.ememar.2019.03.007
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- Danyan Wen & Mengxi He & Yaojie Zhang & Yudong Wang, 2022. "Forecasting realized volatility of Chinese stock market: A simple but efficient truncated approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 230-251, March.
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Keywords
Arbitrage risk; Arbitrage cost; Transaction cost; Information uncertainty; Out-of-sample forecast returns;All these keywords.
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