Idiosyncratic Entropy and Stock Returns
The research introduces a risk factor for idiosyncratic entropy and reveals a negative correlation between expected idiosyncratic entropy and returns, providing insight into the idiosyncratic volatility puzzle.
Featured in No. 54 on 20 Jun 2024 · 19 days after release
- Released
- 1 Jun 2024
- First featured
- No. 54 · 20 Jun 2024
- Published in
- Not yet, as far as Semantic Scholar knows
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- 2
- Identifier
- SSRN 4868859
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