New Evidence on the Role of Size Effect in Determining the Pricing of Risk, Volatility Dynamics, and Economic Exposure of Firm Returns

This research study analyses the role of size effect in detecting the pricing of risk, various volatility dynamics, and economic exposure of firm returns on the Pakistani stock market by employing monthly data for the period from 1998 to 2018. Three generalized autoregressive conditional heteroskeda...

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Veröffentlicht in:	International journal of applied behavioral economics 2020-07, Vol.9 (3), p.1-25
Hauptverfasser:	Khan, Faisal, Jan, Sharif Ullah
Format:	Artikel
Sprache:	eng
Schlagworte:	Behavioral economics Economic aspects Forecasts and trends Stock markets Volatility
Online-Zugang:	Volltext
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