Monthly Archives: December 2017

Calculate idiosyncratic stock return volatility

I have noted two slightly different definitions of idiosyncratic stock return volatility in: Campbell, J. Y. and Taksler, G. B. (2003), Equity Volatility and Corporate Bond Yields. The Journal of Finance, 58: 2321–2350. doi:10.1046/j.1540-6261.2003.00607.x Rajgopal, S. and Venkatachalam, M. (2011), … Continue reading

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