Jason D. Fink is the Chandler/Universal Professor of Banking at James Madison University in Harrisonburg, VA. Kristin E. Fink is a Professor at James Madison University in Harrisonburg, VA. Hui He is an Assistant Professor at James Madison University in Harrisonburg, VA.
Expected Idiosyncratic Volatility Measures and Expected Returns
Version of Record online: 24 JUL 2012
© 2012 Financial Management Association International.
Volume 41, Issue 3, pages 519–553, Fall 2012
How to Cite
Fink, J. D., Fink, K. E. and He, H. (2012), Expected Idiosyncratic Volatility Measures and Expected Returns. Financial Management, 41: 519–553. doi: 10.1111/j.1755-053X.2012.01209.x
The authors would like to thank Geert Bekaert, Pamela Drake, and Qianqiu Liu for helpful discussions and/or correspondence, and John Battipaglia for excellent research assistance. We especially thank Maria Schutte and James Weston for important conversations that significantly strengthened this paper. The suggestions of two anonymous referees and Marc Lipson (Editor) led to significant improvements in this paper. All volatility data is provided at http://people.jmu.edu/hehx/index.html.
- Issue online: 6 SEP 2012
- Version of Record online: 24 JUL 2012
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