The Calendar Effects of the Idiosyncratic Volatility Puzzle: A Tale of Two Days?

https://hdl.handle.net/10536/DRO/DU:30163172
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posted on 2024-06-04, 11:06 authored by Jie Cao, Tarun Chordia, Xintong Zhan

The Calendar Effects of the Idiosyncratic Volatility Puzzle: A Tale of Two Days?

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Related Materials

1.
DOI - Is version of https://doi.org/10.1287/mnsc.2020.3803

Location

Catonsville, Md.

Language

English

Author URL

http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000751740500009&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=a045e4b2bb1f2b747c68c720ec8913b7

Publication classification

C1.1 Refereed article in a scholarly journal

Journal

Management Science

Volume

67

Pagination

7866-7887

ISSN

0025-1909

eISSN

1526-5501

Issue

12

Publisher

Informs

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Keywords

ARBITRAGE Business & Economics calendar effects CROSS-SECTION EQUILIBRIUM idiosyncratic volatility LIQUIDITY LOTTERIES Management Operations Research & Management Science option expiration PERFORMANCE RISK Science & Technology Social Sciences STOCK RETURNS Technology TRADERS

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