Study on the Dynamic Relationship between the Excess Returns of the Stock Market and Idiosyncratic Volatility and the Information Efficiency

Korean Journal of Financial Studies 2007;36(3):387-423.
Published online June 30, 2007.

주식시장의 초과수익률과 고유변동성의 동적 관계 및 정보효율성에 관한 연구

이상빈, 서정훈

Key Words: 고유변동성,변동성분해,시장변동성,정보효율성,총변동성,Aggregate volatility,Idiosyncratic volatility,Information efficiency,Market volatility,Volatility decomposition

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