G14 - Information and Market Efficiency; Event Studies - Bank of Canada
https://www.bankofcanada.ca/rss-feeds/
Bank of Canada RSS Feedsen2024-03-29T08:38:31+00:00Idiosyncratic Coskewness and Equity Return Anomalies
https://www.bankofcanada.ca/2010/05/working-paper-2010-11/
In this paper, we show that in a model where investors have heterogeneous preferences, the expected return of risky assets depends on the idiosyncratic coskewness beta, which measures the co-movement of the individual stock variance and the market return.2010-05-20T14:53:53+00:00enIdiosyncratic Coskewness and Equity Return Anomalies2010-05-20Economic modelsFinancial marketsWorking Paper 2010-11https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp10-11.pdfIdiosyncratic Coskewness and Equity Return AnomaliesFousseni Chabi-YoJun YangMay 2010GG1G11G12G14G3G33