David Hennessy

We don’t have enough information about this author to calculate their statistics. If you think this is an error let us know.
Learn More
  • Serguey Khovansky, Oleksandr Zhylyevskyy, Aram Balagyozyan, Joydeep Bhattacharya, Gray Calhoun, Juan Carlos Cordoba +4 others
  • 2012
We apply a new econometric method –the generalized method of moments under a common shock –to estimate idiosyncratic volatility premium and average idiosyncratic stock volatility. In contrast to the popular two-pass estimation approach of Fama and MacBeth (1973), the method requires using only a cross-section of return observations. We apply it to(More)
  • 1