Alpha beta risk and stock returns—a decomposition analysis of idiosyncratic volatility with conditional models

HIGHLIGHTS

• who: Chengbo Fu from the School of Business, University of Northern British Columbia, Prince George, BC V N, Canada have published the article: Alpha Beta Risk and Stock Returnsu2014A Decomposition Analysis of Idiosyncratic Volatility with Conditional Models, in the Journal: Risks 2018, 6, 124 of /2018/
• what: Last, the authors investigate whether the return predictability from the alpha risk is affected by the time-varying alpha itself. The authors focus on the volatility of the time-varying alpha and betas.

SUMMARY

Of 11 To this point, the authors have shown a . . .

 



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