Idiosyncratic Risk Matters: An Empirical Investigation of UK Equity Market
Our empirical study is an extension of idiosyncratic volatility investigation in UK market through the utilization of the decomposition model of Campbell, Lettau, Malkiel and Xu (2001). The framework of Campbell et al (2001) helps our investigation into three levels, which are market level, industry...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2010
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| Online Access: | https://eprints.nottingham.ac.uk/23832/ |