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Journal of banking & finance, v.75, 2017년, pp.136 - 151
Aabo, T. , Pantzalis, C. , Park, J.C.
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We investigate the market efficiency implications of firm-specific return variation measured by absolute idiosyncratic volatility. We find that the absolute idiosyncratic volatility (the variance of the residual from an asset-pricing model) displays a positive and robust relationship to mispricing, ...
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