FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W4386415762> ?p ?o ?g. }

• W4386415762 endingPage "101261" @default.
• W4386415762 startingPage "101261" @default.
• W4386415762 abstract "Using finite mixture normal regressions, we find that the relation between idiosyncratic volatility (IVOL) and realized return is negative for one latent group and positive for the other latent group. The intercept is larger for the group with a positive relation than for the group with a negative relation; the negative relation concentrates in firms with large negative realized return in the bottom two quintiles and the positive relation concentrates in firms with large positive realized return in the top two quintiles; the likelihood of having a negative relation is positively related to price-to-value ratio estimates. Realized return has a prominent mispricing-correction component that is negative (positive) for overvalued (undervalued) firms and decreases (increases) with the degree of overvaluation (undervaluation) corrected. Overall, our findings are consistent with the positive relation between IVOL and mispricing. Our findings suggest that an overall negative relation between IVOL and realized return is driven by the negative relation between IVOL and the mispricing-correction component from overvalued firms. Rationally determined expected return cannot be negative. Evidently, an overall negative relation between IVOL and realized return does not contradict the prediction of rational asset pricing theories." @default.
• W4386415762 created "2023-09-05" @default.
• W4386415762 creator A5018401236 @default.
• W4386415762 creator A5045862079 @default.
• W4386415762 creator A5050133337 @default.
• W4386415762 date "2023-09-01" @default.
• W4386415762 modified "2023-09-27" @default.
• W4386415762 title "Idiosyncratic volatility and return: A finite mixture approach" @default.
• W4386415762 cites W1560849420 @default.
• W4386415762 cites W1983848197 @default.
• W4386415762 cites W1999918735 @default.
• W4386415762 cites W2022852240 @default.
• W4386415762 cites W2024623582 @default.
• W4386415762 cites W2047134779 @default.
• W4386415762 cites W2069414789 @default.
• W4386415762 cites W2090758019 @default.
• W4386415762 cites W2104795328 @default.
• W4386415762 cites W2109820980 @default.
• W4386415762 cites W2113208252 @default.
• W4386415762 cites W2123518587 @default.
• W4386415762 cites W2136120210 @default.
• W4386415762 cites W2142676480 @default.
• W4386415762 cites W2151152699 @default.
• W4386415762 cites W2157295749 @default.
• W4386415762 cites W2165519258 @default.
• W4386415762 cites W2570834760 @default.
• W4386415762 cites W2730222835 @default.
• W4386415762 cites W2935769984 @default.
• W4386415762 cites W3028931246 @default.
• W4386415762 cites W3121378067 @default.
• W4386415762 cites W3121451334 @default.
• W4386415762 cites W3121588992 @default.
• W4386415762 cites W3121925006 @default.
• W4386415762 cites W3122244915 @default.
• W4386415762 cites W3122504957 @default.
• W4386415762 cites W3122694170 @default.
• W4386415762 cites W3122930121 @default.
• W4386415762 cites W3123164671 @default.
• W4386415762 cites W3123276743 @default.
• W4386415762 cites W3123370480 @default.
• W4386415762 cites W3123379704 @default.
• W4386415762 cites W3123443250 @default.
• W4386415762 cites W3123783811 @default.
• W4386415762 cites W3124971662 @default.
• W4386415762 cites W3124978547 @default.
• W4386415762 cites W3125433491 @default.
• W4386415762 cites W3125493359 @default.
• W4386415762 cites W3125538213 @default.
• W4386415762 cites W3125688476 @default.
• W4386415762 cites W3125951730 @default.
• W4386415762 cites W3125984145 @default.
• W4386415762 cites W3126072267 @default.
• W4386415762 cites W3126663409 @default.
• W4386415762 cites W4200253776 @default.
• W4386415762 cites W4205539948 @default.
• W4386415762 cites W4205784454 @default.
• W4386415762 cites W4211100651 @default.
• W4386415762 cites W4211134865 @default.
• W4386415762 cites W4231665431 @default.
• W4386415762 cites W4237239309 @default.
• W4386415762 cites W4242067316 @default.
• W4386415762 cites W4243760387 @default.
• W4386415762 cites W4255461888 @default.
• W4386415762 cites W4285472592 @default.
• W4386415762 cites W4303184006 @default.
• W4386415762 doi "https://doi.org/10.1016/j.bar.2023.101261" @default.
• W4386415762 hasPublicationYear "2023" @default.
• W4386415762 type Work @default.
• W4386415762 citedByCount "0" @default.
• W4386415762 crossrefType "journal-article" @default.
• W4386415762 hasAuthorship W4386415762A5018401236 @default.
• W4386415762 hasAuthorship W4386415762A5045862079 @default.
• W4386415762 hasAuthorship W4386415762A5050133337 @default.
• W4386415762 hasConcept C149782125 @default.
• W4386415762 hasConcept C162324750 @default.
• W4386415762 hasConcept C25343380 @default.
• W4386415762 hasConcept C41008148 @default.
• W4386415762 hasConcept C77088390 @default.
• W4386415762 hasConcept C91602232 @default.
• W4386415762 hasConceptScore W4386415762C149782125 @default.
• W4386415762 hasConceptScore W4386415762C162324750 @default.
• W4386415762 hasConceptScore W4386415762C25343380 @default.
• W4386415762 hasConceptScore W4386415762C41008148 @default.
• W4386415762 hasConceptScore W4386415762C77088390 @default.
• W4386415762 hasConceptScore W4386415762C91602232 @default.
• W4386415762 hasLocation W43864157621 @default.
• W4386415762 hasOpenAccess W4386415762 @default.
• W4386415762 hasPrimaryLocation W43864157621 @default.
• W4386415762 hasRelatedWork W2168837190 @default.
• W4386415762 hasRelatedWork W2515239783 @default.
• W4386415762 hasRelatedWork W2595743171 @default.
• W4386415762 hasRelatedWork W2609414343 @default.
• W4386415762 hasRelatedWork W2751781760 @default.
• W4386415762 hasRelatedWork W3121214250 @default.
• W4386415762 hasRelatedWork W3121557707 @default.
• W4386415762 hasRelatedWork W3122613467 @default.
• W4386415762 hasRelatedWork W3125807518 @default.
• W4386415762 hasRelatedWork W4367396873 @default.

• next