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The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications
Author(s) -
Bernard Herskovic,
Bryan Kelly,
Hanno Lustig,
Stijn Van Nieuwerburgh
Publication year - 2014
Language(s) - English
Resource type - Reports
DOI - 10.3386/w20076
Subject(s) - capital asset pricing model , volatility (finance) , systematic risk , econometrics , financial economics , economics

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