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The Bid-Ask Bounce Effect and the Pricing of Cross-Sectional Idiosyncratic Volatility: An Australian Study

https://doi.org/10.2139/ssrn.2563610
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inferredcites →https://doi.org/10.1007/s11146-007-9091-1openalex-extracted
Idiosyncratic Risk and REIT Returns
inferredcites →https://doi.org/10.1016/0304-405x(93)90023-5openalex-extracted
Common risk factors in the returns on stocks and bonds
inferredcites →https://doi.org/10.1016/j.jbankfin.2010.03.010openalex-extracted
Relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns
inferredcites →https://doi.org/10.1016/j.jbankfin.2011.02.015openalex-extracted
The return impact of realized and expected idiosyncratic volatility
inferredcites →https://doi.org/10.1016/j.jfineco.2007.12.005openalex-extracted
High idiosyncratic volatility and low returns: International and further U.S. evidence
inferredcites →https://doi.org/10.1080/09603100902984327openalex-extracted
Idiosyncratic volatility and security returns: Australian evidence
inferredcites →https://doi.org/10.1086/260061openalex-extracted
Risk, Return, and Equilibrium: Empirical Tests
inferredcites →https://doi.org/10.1093/rfs/hhq140openalex-extracted
Liquidity Biases and the Pricing of Cross-sectional Idiosyncratic Volatility
inferredcites →https://doi.org/10.1111/1540-6261.00555openalex-extracted
Idiosyncratic Risk Matters!
inferredcites →https://doi.org/10.1111/j.1467-629x.2004.00100.xopenalex-extracted
Size and book to market effects and the Fama French three factor asset pricing model: evidence from the Australian stockmarket
inferredcites →https://doi.org/10.1111/j.1467-629x.2010.00384.xopenalex-extracted
Idiosyncratic volatility and cross‐sectional stock returns in Southeast Asian stock markets
inferredcites →https://doi.org/10.1111/j.1540-6261.1992.tb04398.xopenalex-extracted
The Cross-Section of Expected Stock Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2005.00750.xopenalex-extracted
Does Idiosyncratic Risk Really Matter?
inferredcites →https://doi.org/10.1111/j.1540-6261.2006.00836.xopenalex-extracted
The Cross‐Section of Volatility and Expected Returns
inferredcites →https://doi.org/10.1177/0312896214541554openalex-extracted
The pricing of idiosyncratic volatility: An Australian study
inferredcites →https://doi.org/10.1260/0958-305x.21.7.847openalex-extracted
A Response to “The Climate Change Debates”
inferredcites →https://doi.org/10.2139/ssrn.1364530openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.1571758openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.904207openalex-extracted
inferredcites →https://doi.org/10.2307/2329112openalex-extracted
inferredcites →https://doi.org/10.3386/w13739openalex-extracted
High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence
inferredcites →https://doi.org/10.1016/j.jempfin.2022.01.004openalex-snapshot
Is idiosyncratic risk priced? The international evidence
inferredcites →https://doi.org/10.1016/j.jfineco.2008.02.003openalex-snapshot
Idiosyncratic risk and the cross-section of expected stock returns
inferredcites →https://doi.org/10.3386/w10852openalex-snapshot
The Cross-Section of Volatility and Expected Returns
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