id	sid	tid	token	lemma	pos
arjefm-59	1	1	american	american	PROPN
arjefm-59	1	2	research	research	PROPN
arjefm-59	1	3	journal	journal	PROPN
arjefm-59	1	4	of	of	ADP
arjefm-59	1	5	economics	economic	NOUN
arjefm-59	1	6	,	,	PUNCT
arjefm-59	1	7	finance	finance	NOUN
arjefm-59	1	8	and	and	CCONJ
arjefm-59	1	9	management	management	NOUN
arjefm-59	1	10	volume	volume	NOUN
arjefm-59	1	11	10	10	NUM
arjefm-59	1	12	issue	issue	NOUN
arjefm-59	1	13	1	1	NUM
arjefm-59	1	14	,	,	PUNCT
arjefm-59	1	15	january	january	PROPN
arjefm-59	1	16	-	-	PUNCT
arjefm-59	1	17	march	march	PROPN
arjefm-59	1	18	2022	2022	NUM
arjefm-59	1	19	issn	issn	NOUN
arjefm-59	1	20	:	:	PUNCT
arjefm-59	1	21	2836	2836	NUM
arjefm-59	1	22	-	-	SYM
arjefm-59	1	23	9416	9416	NUM
arjefm-59	1	24	impact	impact	NOUN
arjefm-59	1	25	factor	factor	NOUN
arjefm-59	1	26	:	:	PUNCT
arjefm-59	1	27	4.85	4.85	NUM
arjefm-59	1	28	journal	journal	NOUN
arjefm-59	1	29	homepage	homepage	NOUN
arjefm-59	1	30	:	:	PUNCT
arjefm-59	1	31	https://americaserial.com/journals/index.php/arjefm	https://americaserial.com/journals/index.php/arjefm	NOUN
arjefm-59	1	32	,	,	PUNCT
arjefm-59	1	33	email	email	NOUN
arjefm-59	1	34	:	:	PUNCT
arjefm-59	1	35	contact@americaserial.com	contact@americaserial.com	PROPN
arjefm-59	1	36	official	official	ADJ
arjefm-59	1	37	journal	journal	PROPN
arjefm-59	1	38	of	of	ADP
arjefm-59	1	39	america	america	PROPN
arjefm-59	1	40	serial	serial	PROPN
arjefm-59	1	41	publication	publication	NOUN
arjefm-59	1	42	american	american	PROPN
arjefm-59	1	43	research	research	PROPN
arjefm-59	1	44	journal	journal	PROPN
arjefm-59	1	45	of	of	ADP
arjefm-59	1	46	economics	economic	NOUN
arjefm-59	1	47	,	,	PUNCT
arjefm-59	1	48	finance	finance	NOUN
arjefm-59	1	49	and	and	CCONJ
arjefm-59	1	50	management	management	NOUN
arjefm-59	1	51	https://americaserial.com/journals/index.php/arjefm	https://americaserial.com/journals/index.php/arjefm	NOUN
arjefm-59	1	52	,	,	PUNCT
arjefm-59	1	53	email	email	NOUN
arjefm-59	1	54	:	:	PUNCT
arjefm-59	1	55	contact@americaserial.com	contact@americaserial.com	X
arjefm-59	2	1	1	1	NUM
arjefm-59	2	2	|	|	ADV
arjefm-59	2	3	p	p	X
arjefm-59	2	4	a	a	DET
arjefm-59	2	5	g	g	NOUN
arjefm-59	2	6	e	e	NOUN
arjefm-59	2	7	unraveling	unravel	VERB
arjefm-59	2	8	the	the	DET
arjefm-59	2	9	idiosyncratic	idiosyncratic	ADJ
arjefm-59	2	10	volatility	volatility	NOUN
arjefm-59	2	11	puzzle	puzzle	NOUN
arjefm-59	2	12	:	:	PUNCT
arjefm-59	2	13	insights	insight	NOUN
arjefm-59	2	14	from	from	ADP
arjefm-59	2	15	the	the	DET
arjefm-59	2	16	sri	sri	PROPN
arjefm-59	2	17	lankan	lankan	PROPN
arjefm-59	2	18	market	market	PROPN
arjefm-59	2	19	dr	dr	PROPN
arjefm-59	2	20	.	.	PROPN
arjefm-59	2	21	kasun	kasun	PROPN
arjefm-59	2	22	s.	s.	PROPN
arjefm-59	2	23	perera	perera	PROPN
arjefm-59	2	24	and	and	CCONJ
arjefm-59	2	25	dr	dr	PROPN
arjefm-59	2	26	.	.	PROPN
arjefm-59	2	27	anusha	anusha	PROPN
arjefm-59	2	28	r.	r.	PROPN
arjefm-59	2	29	silva	silva	PROPN
arjefm-59	2	30	department	department	PROPN
arjefm-59	2	31	of	of	ADP
arjefm-59	2	32	finance	finance	NOUN
arjefm-59	2	33	,	,	PUNCT
arjefm-59	2	34	faculty	faculty	NOUN
arjefm-59	2	35	of	of	ADP
arjefm-59	2	36	management	management	NOUN
arjefm-59	2	37	and	and	CCONJ
arjefm-59	2	38	finance	finance	NOUN
arjefm-59	2	39	,	,	PUNCT
arjefm-59	2	40	university	university	NOUN
arjefm-59	2	41	of	of	ADP
arjefm-59	2	42	colombo	colombo	NOUN
arjefm-59	2	43	,	,	PUNCT
arjefm-59	2	44	sri	sri	PROPN
arjefm-59	2	45	lanka	lanka	PROPN
arjefm-59	2	46	abstract	abstract	PROPN
arjefm-59	2	47	:	:	PUNCT
arjefm-59	3	1	the	the	DET
arjefm-59	3	2	capital	capital	NOUN
arjefm-59	3	3	asset	asset	NOUN
arjefm-59	3	4	pricing	pricing	NOUN
arjefm-59	3	5	model	model	NOUN
arjefm-59	3	6	(	(	PUNCT
arjefm-59	3	7	capm	capm	PROPN
arjefm-59	3	8	)	)	PUNCT
arjefm-59	3	9	has	have	AUX
arjefm-59	3	10	been	be	AUX
arjefm-59	3	11	a	a	DET
arjefm-59	3	12	cornerstone	cornerstone	NOUN
arjefm-59	3	13	in	in	ADP
arjefm-59	3	14	asset	asset	NOUN
arjefm-59	3	15	pricing	pricing	NOUN
arjefm-59	3	16	literature	literature	NOUN
arjefm-59	3	17	,	,	PUNCT
arjefm-59	3	18	assuming	assume	VERB
arjefm-59	3	19	that	that	SCONJ
arjefm-59	3	20	investors	investor	NOUN
arjefm-59	3	21	hold	hold	VERB
arjefm-59	3	22	well	well	ADV
arjefm-59	3	23	-	-	PUNCT
arjefm-59	3	24	diversified	diversify	VERB
arjefm-59	3	25	portfolios	portfolio	NOUN
arjefm-59	3	26	,	,	PUNCT
arjefm-59	3	27	making	make	VERB
arjefm-59	3	28	idiosyncratic	idiosyncratic	ADJ
arjefm-59	3	29	volatility	volatility	NOUN
arjefm-59	3	30	irrelevant	irrelevant	ADJ
arjefm-59	3	31	for	for	ADP
arjefm-59	3	32	pricing	price	VERB
arjefm-59	3	33	stock	stock	NOUN
arjefm-59	3	34	returns	return	NOUN
arjefm-59	3	35	.	.	PUNCT
arjefm-59	4	1	however	however	ADV
arjefm-59	4	2	,	,	PUNCT
arjefm-59	4	3	merton	merton	X
arjefm-59	4	4	(	(	PUNCT
arjefm-59	4	5	1987	1987	NUM
arjefm-59	4	6	)	)	PUNCT
arjefm-59	4	7	contends	contend	VERB
arjefm-59	4	8	that	that	SCONJ
arjefm-59	4	9	information	information	NOUN
arjefm-59	4	10	asymmetries	asymmetry	NOUN
arjefm-59	4	11	prevent	prevent	VERB
arjefm-59	4	12	investors	investor	NOUN
arjefm-59	4	13	from	from	ADP
arjefm-59	4	14	achieving	achieve	VERB
arjefm-59	4	15	full	full	ADJ
arjefm-59	4	16	diversification	diversification	NOUN
arjefm-59	4	17	,	,	PUNCT
arjefm-59	4	18	making	make	VERB
arjefm-59	4	19	idiosyncratic	idiosyncratic	ADJ
arjefm-59	4	20	volatility	volatility	NOUN
arjefm-59	4	21	a	a	DET
arjefm-59	4	22	critical	critical	ADJ
arjefm-59	4	23	factor	factor	NOUN
arjefm-59	4	24	in	in	ADP
arjefm-59	4	25	asset	asset	NOUN
arjefm-59	4	26	pricing	pricing	NOUN
arjefm-59	4	27	.	.	PUNCT
arjefm-59	5	1	supporting	support	VERB
arjefm-59	5	2	this	this	DET
arjefm-59	5	3	argument	argument	NOUN
arjefm-59	5	4	,	,	PUNCT
arjefm-59	5	5	goetzmann	goetzmann	PROPN
arjefm-59	5	6	and	and	CCONJ
arjefm-59	5	7	kumar	kumar	PROPN
arjefm-59	5	8	(	(	PUNCT
arjefm-59	5	9	2008	2008	NUM
arjefm-59	5	10	)	)	PUNCT
arjefm-59	5	11	provide	provide	VERB
arjefm-59	5	12	empirical	empirical	ADJ
arjefm-59	5	13	evidence	evidence	NOUN
arjefm-59	5	14	that	that	SCONJ
arjefm-59	5	15	a	a	DET
arjefm-59	5	16	significant	significant	ADJ
arjefm-59	5	17	portion	portion	NOUN
arjefm-59	5	18	of	of	ADP
arjefm-59	5	19	investor	investor	NOUN
arjefm-59	5	20	portfolios	portfolio	NOUN
arjefm-59	5	21	in	in	ADP
arjefm-59	5	22	the	the	DET
arjefm-59	5	23	united	united	PROPN
arjefm-59	5	24	states	states	PROPN
arjefm-59	5	25	consists	consist	VERB
arjefm-59	5	26	of	of	ADP
arjefm-59	5	27	undiversified	undiversified	ADJ
arjefm-59	5	28	holdings	holding	NOUN
arjefm-59	5	29	.	.	PUNCT
arjefm-59	6	1	this	this	DET
arjefm-59	6	2	study	study	NOUN
arjefm-59	6	3	reevaluates	reevaluate	VERB
arjefm-59	6	4	the	the	DET
arjefm-59	6	5	traditional	traditional	ADJ
arjefm-59	6	6	view	view	NOUN
arjefm-59	6	7	by	by	ADP
arjefm-59	6	8	examining	examine	VERB
arjefm-59	6	9	the	the	DET
arjefm-59	6	10	role	role	NOUN
arjefm-59	6	11	of	of	ADP
arjefm-59	6	12	idiosyncratic	idiosyncratic	ADJ
arjefm-59	6	13	volatility	volatility	NOUN
arjefm-59	6	14	in	in	ADP
arjefm-59	6	15	asset	asset	NOUN
arjefm-59	6	16	pricing	pricing	NOUN
arjefm-59	6	17	,	,	PUNCT
arjefm-59	6	18	challenging	challenge	VERB
arjefm-59	6	19	the	the	DET
arjefm-59	6	20	capm	capm	NOUN
arjefm-59	6	21	's	's	PART
arjefm-59	6	22	assumption	assumption	NOUN
arjefm-59	6	23	of	of	ADP
arjefm-59	6	24	perfect	perfect	ADJ
arjefm-59	6	25	diversification	diversification	NOUN
arjefm-59	6	26	.	.	PUNCT
arjefm-59	7	1	by	by	ADP
arjefm-59	7	2	considering	consider	VERB
arjefm-59	7	3	the	the	DET
arjefm-59	7	4	prevalence	prevalence	NOUN
arjefm-59	7	5	of	of	ADP
arjefm-59	7	6	undiversified	undiversified	ADJ
arjefm-59	7	7	portfolios	portfolio	NOUN
arjefm-59	7	8	,	,	PUNCT
arjefm-59	7	9	it	it	PRON
arjefm-59	7	10	explores	explore	VERB
arjefm-59	7	11	how	how	SCONJ
arjefm-59	7	12	idiosyncratic	idiosyncratic	ADJ
arjefm-59	7	13	volatility	volatility	NOUN
arjefm-59	7	14	may	may	AUX
arjefm-59	7	15	indeed	indeed	ADV
arjefm-59	7	16	impact	impact	VERB
arjefm-59	7	17	stock	stock	NOUN
arjefm-59	7	18	returns	return	NOUN
arjefm-59	7	19	,	,	PUNCT
arjefm-59	7	20	shedding	shed	VERB
arjefm-59	7	21	light	light	NOUN
arjefm-59	7	22	on	on	ADP
arjefm-59	7	23	its	its	PRON
arjefm-59	7	24	relevance	relevance	NOUN
arjefm-59	7	25	as	as	ADP
arjefm-59	7	26	a	a	DET
arjefm-59	7	27	pricing	pricing	NOUN
arjefm-59	7	28	factor	factor	NOUN
arjefm-59	7	29	.	.	PUNCT
arjefm-59	8	1	through	through	ADP
arjefm-59	8	2	empirical	empirical	ADJ
arjefm-59	8	3	analysis	analysis	NOUN
arjefm-59	8	4	and	and	CCONJ
arjefm-59	8	5	theoretical	theoretical	ADJ
arjefm-59	8	6	insights	insight	NOUN
arjefm-59	8	7	,	,	PUNCT
arjefm-59	8	8	this	this	DET
arjefm-59	8	9	research	research	NOUN
arjefm-59	8	10	contributes	contribute	VERB
arjefm-59	8	11	to	to	ADP
arjefm-59	8	12	the	the	DET
arjefm-59	8	13	ongoing	ongoing	ADJ
arjefm-59	8	14	discourse	discourse	NOUN
arjefm-59	8	15	on	on	ADP
arjefm-59	8	16	asset	asset	NOUN
arjefm-59	8	17	pricing	pricing	NOUN
arjefm-59	8	18	models	model	NOUN
arjefm-59	8	19	and	and	CCONJ
arjefm-59	8	20	their	their	PRON
arjefm-59	8	21	applicability	applicability	NOUN
arjefm-59	8	22	in	in	ADP
arjefm-59	8	23	real	real	ADJ
arjefm-59	8	24	-	-	PUNCT
arjefm-59	8	25	world	world	NOUN
arjefm-59	8	26	investment	investment	NOUN
arjefm-59	8	27	scenarios	scenario	NOUN
arjefm-59	8	28	.	.	PUNCT
arjefm-59	9	1	keywords	keyword	NOUN
arjefm-59	9	2	:	:	PUNCT
arjefm-59	9	3	capital	capital	NOUN
arjefm-59	9	4	asset	asset	NOUN
arjefm-59	9	5	pricing	pricing	NOUN
arjefm-59	9	6	model	model	NOUN
arjefm-59	9	7	(	(	PUNCT
arjefm-59	9	8	capm	capm	PROPN
arjefm-59	9	9	)	)	PUNCT
arjefm-59	9	10	,	,	PUNCT
arjefm-59	9	11	idiosyncratic	idiosyncratic	ADJ
arjefm-59	9	12	volatility	volatility	NOUN
arjefm-59	9	13	,	,	PUNCT
arjefm-59	9	14	diversification	diversification	NOUN
arjefm-59	9	15	,	,	PUNCT
arjefm-59	9	16	asset	asset	NOUN
arjefm-59	9	17	pricing	pricing	NOUN
arjefm-59	9	18	,	,	PUNCT
arjefm-59	9	19	information	information	NOUN
arjefm-59	9	20	asymmetry	asymmetry	NOUN
arjefm-59	9	21	.	.	PUNCT
arjefm-59	10	1	1	1	X
arjefm-59	10	2	.	.	X
arjefm-59	10	3	introduction	introduction	NOUN
arjefm-59	10	4	the	the	DET
arjefm-59	10	5	capital	capital	NOUN
arjefm-59	10	6	asset	asset	NOUN
arjefm-59	10	7	pricing	pricing	NOUN
arjefm-59	10	8	model	model	NOUN
arjefm-59	10	9	(	(	PUNCT
arjefm-59	10	10	capm	capm	PROPN
arjefm-59	10	11	)	)	PUNCT
arjefm-59	10	12	,	,	PUNCT
arjefm-59	10	13	one	one	NUM
arjefm-59	10	14	of	of	ADP
arjefm-59	10	15	the	the	DET
arjefm-59	10	16	major	major	ADJ
arjefm-59	10	17	developments	development	NOUN
arjefm-59	10	18	in	in	ADP
arjefm-59	10	19	the	the	DET
arjefm-59	10	20	asset	asset	NOUN
arjefm-59	10	21	pricing	pricing	NOUN
arjefm-59	10	22	literature	literature	NOUN
arjefm-59	10	23	,	,	PUNCT
arjefm-59	10	24	assumes	assume	VERB
arjefm-59	10	25	investors	investor	NOUN
arjefm-59	10	26	hold	hold	VERB
arjefm-59	10	27	the	the	DET
arjefm-59	10	28	market	market	NOUN
arjefm-59	10	29	portfolio	portfolio	NOUN
arjefm-59	10	30	in	in	ADP
arjefm-59	10	31	equilibrium	equilibrium	NOUN
arjefm-59	10	32	(	(	PUNCT
arjefm-59	10	33	fu	fu	ADJ
arjefm-59	10	34	,	,	PUNCT
arjefm-59	10	35	2009	2009	NUM
arjefm-59	10	36	)	)	PUNCT
arjefm-59	10	37	.	.	PUNCT
arjefm-59	11	1	hence	hence	ADV
arjefm-59	11	2	,	,	PUNCT
arjefm-59	11	3	it	it	PRON
arjefm-59	11	4	denotes	denote	VERB
arjefm-59	11	5	that	that	SCONJ
arjefm-59	11	6	only	only	ADV
arjefm-59	11	7	market	market	NOUN
arjefm-59	11	8	risk	risk	NOUN
arjefm-59	11	9	should	should	AUX
arjefm-59	11	10	be	be	AUX
arjefm-59	11	11	priced	price	VERB
arjefm-59	11	12	in	in	ADP
arjefm-59	11	13	stock	stock	NOUN
arjefm-59	11	14	returns	return	NOUN
arjefm-59	11	15	as	as	SCONJ
arjefm-59	11	16	the	the	DET
arjefm-59	11	17	idiosyncratic	idiosyncratic	ADJ
arjefm-59	11	18	volatilitycan	volatilitycan	AUX
arjefm-59	11	19	be	be	AUX
arjefm-59	11	20	fully	fully	ADV
arjefm-59	11	21	eliminated	eliminate	VERB
arjefm-59	11	22	through	through	ADP
arjefm-59	11	23	diversification	diversification	NOUN
arjefm-59	11	24	(	(	PUNCT
arjefm-59	11	25	pukthuanthongle	pukthuanthongle	NOUN
arjefm-59	11	26	&	&	CCONJ
arjefm-59	11	27	visaltanachoti	visaltanachoti	PROPN
arjefm-59	11	28	,	,	PUNCT
arjefm-59	11	29	2009	2009	NUM
arjefm-59	11	30	)	)	PUNCT
arjefm-59	11	31	.	.	PUNCT
arjefm-59	12	1	therefore	therefore	ADV
arjefm-59	12	2	,	,	PUNCT
arjefm-59	12	3	all	all	DET
arjefm-59	12	4	the	the	DET
arjefm-59	12	5	empirical	empirical	ADJ
arjefm-59	12	6	asset	asset	NOUN
arjefm-59	12	7	pricing	pricing	NOUN
arjefm-59	12	8	models	model	NOUN
arjefm-59	12	9	assume	assume	VERB
arjefm-59	12	10	that	that	SCONJ
arjefm-59	12	11	the	the	DET
arjefm-59	12	12	investors	investor	NOUN
arjefm-59	12	13	holdthe	holdthe	PROPN
arjefm-59	12	14	market	market	NOUN
arjefm-59	12	15	portfolio	portfolio	NOUN
arjefm-59	12	16	in	in	ADP
arjefm-59	12	17	equilibrium	equilibrium	NOUN
arjefm-59	12	18	so	so	SCONJ
arjefm-59	12	19	that	that	SCONJ
arjefm-59	12	20	they	they	PRON
arjefm-59	12	21	are	be	AUX
arjefm-59	12	22	not	not	PART
arjefm-59	12	23	expecting	expect	VERB
arjefm-59	12	24	a	a	DET
arjefm-59	12	25	return	return	NOUN
arjefm-59	12	26	for	for	ADP
arjefm-59	12	27	holding	hold	VERB
arjefm-59	12	28	the	the	DET
arjefm-59	12	29	idiosyncratic	idiosyncratic	ADJ
arjefm-59	12	30	volatility	volatility	NOUN
arjefm-59	12	31	as	as	SCONJ
arjefm-59	12	32	it	it	PRON
arjefm-59	12	33	can	can	AUX
arjefm-59	12	34	be	be	AUX
arjefm-59	12	35	fully	fully	ADV
arjefm-59	12	36	eliminated	eliminate	VERB
arjefm-59	12	37	through	through	ADP
arjefm-59	12	38	diversification	diversification	NOUN
arjefm-59	12	39	.	.	PUNCT
arjefm-59	13	1	hence	hence	ADV
arjefm-59	13	2	,	,	PUNCT
arjefm-59	13	3	it	it	PRON
arjefm-59	13	4	is	be	AUX
arjefm-59	13	5	assumed	assume	VERB
arjefm-59	13	6	only	only	ADV
arjefm-59	13	7	systematic	systematic	ADJ
arjefm-59	13	8	risk	risk	NOUN
arjefm-59	13	9	should	should	AUX
arjefm-59	13	10	be	be	AUX
arjefm-59	13	11	priced	price	VERB
arjefm-59	13	12	in	in	ADP
arjefm-59	13	13	average	average	ADJ
arjefm-59	13	14	stock	stock	NOUN
arjefm-59	13	15	returns	return	NOUN
arjefm-59	13	16	and	and	CCONJ
arjefm-59	13	17	idiosyncratic	idiosyncratic	ADJ
arjefm-59	13	18	volatility	volatility	NOUN
arjefm-59	13	19	is	be	AUX
arjefm-59	13	20	irrelevant	irrelevant	ADJ
arjefm-59	13	21	.	.	PUNCT
arjefm-59	14	1	however	however	ADV
arjefm-59	14	2	,	,	PUNCT
arjefm-59	14	3	merton	merton	X
arjefm-59	14	4	(	(	PUNCT
arjefm-59	14	5	1987	1987	NUM
arjefm-59	14	6	)	)	PUNCT
arjefm-59	14	7	argues	argue	VERB
arjefm-59	14	8	that	that	SCONJ
arjefm-59	14	9	due	due	ADP
arjefm-59	14	10	to	to	ADP
arjefm-59	14	11	existence	existence	NOUN
arjefm-59	14	12	of	of	ADP
arjefm-59	14	13	information	information	NOUN
arjefm-59	14	14	asymmetries	asymmetry	NOUN
arjefm-59	14	15	in	in	ADP
arjefm-59	14	16	the	the	DET
arjefm-59	14	17	market	market	NOUN
arjefm-59	14	18	,	,	PUNCT
arjefm-59	14	19	investors	investor	NOUN
arjefm-59	14	20	can	can	AUX
arjefm-59	14	21	not	not	PART
arjefm-59	14	22	fully	fully	ADV
arjefm-59	14	23	diversify	diversify	VERB
arjefm-59	14	24	the	the	DET
arjefm-59	14	25	idiosyncratic	idiosyncratic	ADJ
arjefm-59	14	26	volatility	volatility	NOUN
arjefm-59	14	27	as	as	SCONJ
arjefm-59	14	28	they	they	PRON
arjefm-59	14	29	unable	unable	ADJ
arjefm-59	14	30	to	to	PART
arjefm-59	14	31	hold	hold	VERB
arjefm-59	14	32	a	a	DET
arjefm-59	14	33	well	well	ADV
arjefm-59	14	34	-	-	PUNCT
arjefm-59	14	35	diversified	diversify	VERB
arjefm-59	14	36	portfolio	portfolio	NOUN
arjefm-59	14	37	.	.	PUNCT
arjefm-59	15	1	supporting	support	VERB
arjefm-59	15	2	merton	merton	PROPN
arjefm-59	15	3	’s	’s	PART
arjefm-59	15	4	argument	argument	NOUN
arjefm-59	15	5	,	,	PUNCT
arjefm-59	15	6	goetzmann	goetzmann	PROPN
arjefm-59	15	7	and	and	CCONJ
arjefm-59	15	8	kumar	kumar	PROPN
arjefm-59	15	9	(	(	PUNCT
arjefm-59	15	10	2008	2008	NUM
arjefm-59	15	11	)	)	PUNCT
arjefm-59	15	12	depict	depict	VERB
arjefm-59	15	13	that	that	PRON
arjefm-59	15	14	out	out	ADP
arjefm-59	15	15	of	of	ADP
arjefm-59	15	16	a	a	DET
arjefm-59	15	17	sample	sample	NOUN
arjefm-59	15	18	of	of	ADP
arjefm-59	15	19	more	more	ADJ
arjefm-59	15	20	than	than	ADP
arjefm-59	15	21	62,000	62,000	NUM
arjefm-59	15	22	households	household	NOUN
arjefm-59	15	23	in	in	ADP
arjefm-59	15	24	the	the	DET
arjefm-59	15	25	united	united	PROPN
arjefm-59	15	26	states	states	PROPN
arjefm-59	15	27	during	during	ADP
arjefm-59	15	28	the	the	DET
arjefm-59	15	29	period	period	NOUN
arjefm-59	15	30	of	of	ADP
arjefm-59	15	31	1991	1991	NUM
arjefm-59	15	32	-	-	SYM
arjefm-59	15	33	1996	1996	NUM
arjefm-59	15	34	,	,	PUNCT
arjefm-59	15	35	over	over	ADP
arjefm-59	15	36	25	25	NUM
arjefm-59	15	37	percent	percent	NOUN
arjefm-59	15	38	of	of	ADP
arjefm-59	15	39	the	the	DET
arjefm-59	15	40	investor	investor	NOUN
arjefm-59	15	41	portfolios	portfolio	NOUN
arjefm-59	15	42	have	have	VERB
arjefm-59	15	43	only	only	ADV
arjefm-59	15	44	one	one	NUM
arjefm-59	15	45	stock	stock	NOUN
arjefm-59	15	46	whereas	whereas	SCONJ
arjefm-59	15	47	more	more	ADJ
arjefm-59	15	48	than	than	ADP
arjefm-59	15	49	50	50	NUM
arjefm-59	15	50	percent	percent	NOUN
arjefm-59	15	51	of	of	ADP
arjefm-59	15	52	the	the	DET
arjefm-59	15	53	investor	investor	NOUN
arjefm-59	15	54	portfolios	portfolio	NOUN
arjefm-59	15	55	have	have	VERB
arjefm-59	15	56	not	not	PART
arjefm-59	15	57	more	more	ADJ
arjefm-59	15	58	than	than	ADP
arjefm-59	15	59	three	three	NUM
arjefm-59	15	60	stocks	stock	NOUN
arjefm-59	15	61	.	.	PUNCT
arjefm-59	16	1	they	they	PRON
arjefm-59	16	2	further	far	ADV
arjefm-59	16	3	show	show	VERB
arjefm-59	16	4	that	that	SCONJ
arjefm-59	16	5	very	very	ADV
arjefm-59	16	6	smaller	small	ADJ
arjefm-59	16	7	amount	amount	NOUN
arjefm-59	16	8	of	of	ADP
arjefm-59	16	9	investor	investor	NOUN
arjefm-59	16	10	portfolios	portfolio	NOUN
arjefm-59	16	11	(	(	PUNCT
arjefm-59	16	12	five	five	NUM
arjefm-59	16	13	percent	percent	NOUN
arjefm-59	16	14	to	to	ADP
arjefm-59	16	15	ten	ten	NUM
arjefm-59	16	16	percent	percent	NOUN
arjefm-59	16	17	)	)	PUNCT
arjefm-59	16	18	have	have	VERB
arjefm-59	16	19	more	more	ADJ
arjefm-59	16	20	than	than	ADP
arjefm-59	16	21	ten	ten	NUM
arjefm-59	16	22	stocks	stock	NOUN
arjefm-59	16	23	.	.	PUNCT
arjefm-59	17	1	hence	hence	ADV
arjefm-59	17	2	,	,	PUNCT
arjefm-59	17	3	this	this	PRON
arjefm-59	17	4	shows	show	VERB
arjefm-59	17	5	that	that	SCONJ
arjefm-59	17	6	the	the	DET
arjefm-59	17	7	idiosyncratic	idiosyncratic	ADJ
arjefm-59	17	8	volatility	volatility	NOUN
arjefm-59	17	9	is	be	AUX
arjefm-59	17	10	an	an	DET
arjefm-59	17	11	important	important	ADJ
arjefm-59	17	12	factor	factor	NOUN
arjefm-59	17	13	in	in	ADP
arjefm-59	17	14	asset	asset	NOUN
arjefm-59	17	15	pricing	pricing	NOUN
arjefm-59	17	16	as	as	SCONJ
arjefm-59	17	17	the	the	DET
arjefm-59	17	18	investors	investor	NOUN
arjefm-59	17	19	are	be	AUX
arjefm-59	17	20	holding	hold	VERB
arjefm-59	17	21	undiversified	undiversified	ADJ
arjefm-59	17	22	investment	investment	NOUN
arjefm-59	17	23	portfolios	portfolio	NOUN
arjefm-59	17	24	.	.	PUNCT
arjefm-59	18	1	mailto:contact@americaserial.com	mailto:contact@americaserial.com	X
arjefm-59	18	2	mailto:contact@americaserial.com	mailto:contact@americaserial.com	PROPN
arjefm-59	19	1	american	american	PROPN
arjefm-59	19	2	research	research	PROPN
arjefm-59	19	3	journal	journal	PROPN
arjefm-59	19	4	of	of	ADP
arjefm-59	19	5	economics	economic	NOUN
arjefm-59	19	6	,	,	PUNCT
arjefm-59	19	7	finance	finance	NOUN
arjefm-59	19	8	and	and	CCONJ
arjefm-59	19	9	management	management	NOUN
arjefm-59	19	10	volume	volume	NOUN
arjefm-59	19	11	10	10	NUM
arjefm-59	19	12	issue	issue	NOUN
arjefm-59	19	13	1	1	NUM
arjefm-59	19	14	,	,	PUNCT
arjefm-59	19	15	january	january	PROPN
arjefm-59	19	16	-	-	PUNCT
arjefm-59	19	17	march	march	PROPN
arjefm-59	19	18	2022	2022	NUM
arjefm-59	19	19	issn	issn	NOUN
arjefm-59	19	20	:	:	PUNCT
arjefm-59	19	21	2836	2836	NUM
arjefm-59	19	22	-	-	SYM
arjefm-59	19	23	9416	9416	NUM
arjefm-59	19	24	impact	impact	NOUN
arjefm-59	19	25	factor	factor	NOUN
arjefm-59	19	26	:	:	PUNCT
arjefm-59	19	27	4.85	4.85	NUM
arjefm-59	19	28	journal	journal	NOUN
arjefm-59	19	29	homepage	homepage	NOUN
arjefm-59	19	30	:	:	PUNCT
arjefm-59	19	31	https://americaserial.com/journals/index.php/arjefm	https://americaserial.com/journals/index.php/arjefm	NOUN
arjefm-59	19	32	,	,	PUNCT
arjefm-59	19	33	email	email	NOUN
arjefm-59	19	34	:	:	PUNCT
arjefm-59	20	1	contact@americaserial.com	contact@americaserial.com	PROPN
arjefm-59	20	2	official	official	ADJ
arjefm-59	20	3	journal	journal	PROPN
arjefm-59	20	4	of	of	ADP
arjefm-59	20	5	america	america	PROPN
arjefm-59	20	6	serial	serial	PROPN
arjefm-59	20	7	publication	publication	NOUN
arjefm-59	20	8	american	american	PROPN
arjefm-59	20	9	research	research	PROPN
arjefm-59	20	10	journal	journal	PROPN
arjefm-59	20	11	of	of	ADP
arjefm-59	20	12	economics	economic	NOUN
arjefm-59	20	13	,	,	PUNCT
arjefm-59	20	14	finance	finance	NOUN
arjefm-59	20	15	and	and	CCONJ
arjefm-59	20	16	management	management	NOUN
arjefm-59	20	17	https://americaserial.com/journals/index.php/arjefm	https://americaserial.com/journals/index.php/arjefm	NOUN
arjefm-59	20	18	,	,	PUNCT
arjefm-59	20	19	email	email	NOUN
arjefm-59	20	20	:	:	PUNCT
arjefm-59	20	21	contact@americaserial.com	contact@americaserial.com	X
arjefm-59	20	22	2	2	NUM
arjefm-59	21	1	|	|	ADV
arjefm-59	21	2	p	p	NOUN
arjefm-59	21	3	a	a	DET
arjefm-59	21	4	g	g	NOUN
arjefm-59	21	5	e	e	NOUN
arjefm-59	21	6	accordingly	accordingly	ADV
arjefm-59	21	7	,	,	PUNCT
arjefm-59	21	8	merton	merton	X
arjefm-59	21	9	(	(	PUNCT
arjefm-59	21	10	1987	1987	NUM
arjefm-59	21	11	)	)	PUNCT
arjefm-59	21	12	anticipates	anticipate	VERB
arjefm-59	21	13	a	a	DET
arjefm-59	21	14	positive	positive	ADJ
arjefm-59	21	15	relationship	relationship	NOUN
arjefm-59	21	16	between	between	ADP
arjefm-59	21	17	average	average	ADJ
arjefm-59	21	18	stock	stock	NOUN
arjefm-59	21	19	returns	return	NOUN
arjefm-59	21	20	and	and	CCONJ
arjefm-59	21	21	idiosyncratic	idiosyncratic	ADJ
arjefm-59	21	22	risk	risk	NOUN
arjefm-59	21	23	.	.	PUNCT
arjefm-59	22	1	he	he	PRON
arjefm-59	22	2	argues	argue	VERB
arjefm-59	22	3	that	that	SCONJ
arjefm-59	22	4	investors	investor	NOUN
arjefm-59	22	5	are	be	AUX
arjefm-59	22	6	expecting	expect	VERB
arjefm-59	22	7	a	a	DET
arjefm-59	22	8	premium	premium	NOUN
arjefm-59	22	9	for	for	ADP
arjefm-59	22	10	bearing	bear	VERB
arjefm-59	22	11	the	the	DET
arjefm-59	22	12	idiosyncratic	idiosyncratic	ADJ
arjefm-59	22	13	volatility	volatility	NOUN
arjefm-59	22	14	.	.	PUNCT
arjefm-59	23	1	however	however	ADV
arjefm-59	23	2	,	,	PUNCT
arjefm-59	23	3	some	some	DET
arjefm-59	23	4	empirical	empirical	ADJ
arjefm-59	23	5	findings	finding	NOUN
arjefm-59	23	6	have	have	AUX
arjefm-59	23	7	created	create	VERB
arjefm-59	23	8	a	a	DET
arjefm-59	23	9	substantive	substantive	ADJ
arjefm-59	23	10	puzzle	puzzle	NOUN
arjefm-59	23	11	in	in	ADP
arjefm-59	23	12	the	the	DET
arjefm-59	23	13	asset	asset	NOUN
arjefm-59	23	14	pricing	pricing	NOUN
arjefm-59	23	15	literature	literature	NOUN
arjefm-59	23	16	in	in	ADP
arjefm-59	23	17	relation	relation	NOUN
arjefm-59	23	18	to	to	ADP
arjefm-59	23	19	the	the	DET
arjefm-59	23	20	aforementioned	aforementioned	ADJ
arjefm-59	23	21	relationship	relationship	NOUN
arjefm-59	23	22	.	.	PUNCT
arjefm-59	24	1	for	for	ADP
arjefm-59	24	2	instance	instance	NOUN
arjefm-59	24	3	,	,	PUNCT
arjefm-59	24	4	ang	ang	PROPN
arjefm-59	24	5	,	,	PUNCT
arjefm-59	24	6	hodrick	hodrick	PROPN
arjefm-59	24	7	,	,	PUNCT
arjefm-59	24	8	xingand	xingand	NOUN
arjefm-59	24	9	zhang(2006	zhang(2006	PROPN
arjefm-59	24	10	)	)	PUNCT
arjefm-59	24	11	demonstrate	demonstrate	VERB
arjefm-59	24	12	that	that	SCONJ
arjefm-59	24	13	the	the	DET
arjefm-59	24	14	portfolios	portfolio	NOUN
arjefm-59	24	15	with	with	ADP
arjefm-59	24	16	the	the	DET
arjefm-59	24	17	highest	high	ADJ
arjefm-59	24	18	idiosyncratic	idiosyncratic	ADJ
arjefm-59	24	19	volatility	volatility	NOUN
arjefm-59	24	20	yield	yield	NOUN
arjefm-59	24	21	significantly	significantly	ADV
arjefm-59	24	22	lower	low	ADJ
arjefm-59	24	23	returns	return	NOUN
arjefm-59	24	24	where	where	SCONJ
arjefm-59	24	25	they	they	PRON
arjefm-59	24	26	conclude	conclude	VERB
arjefm-59	24	27	that	that	SCONJ
arjefm-59	24	28	it	it	PRON
arjefm-59	24	29	has	have	AUX
arjefm-59	24	30	created	create	VERB
arjefm-59	24	31	a	a	DET
arjefm-59	24	32	puzzling	puzzle	VERB
arjefm-59	24	33	surprise	surprise	NOUN
arjefm-59	24	34	in	in	ADP
arjefm-59	24	35	the	the	DET
arjefm-59	24	36	asset	asset	NOUN
arjefm-59	24	37	pricing	pricing	NOUN
arjefm-59	24	38	literature	literature	NOUN
arjefm-59	24	39	.	.	PUNCT
arjefm-59	25	1	however	however	ADV
arjefm-59	25	2	,	,	PUNCT
arjefm-59	25	3	bali	bali	NOUN
arjefm-59	25	4	and	and	CCONJ
arjefm-59	25	5	cakici	cakici	PROPN
arjefm-59	25	6	(	(	PUNCT
arjefm-59	25	7	2008	2008	NUM
arjefm-59	25	8	)	)	PUNCT
arjefm-59	25	9	note	note	VERB
arjefm-59	25	10	that	that	SCONJ
arjefm-59	25	11	this	this	DET
arjefm-59	25	12	relation	relation	NOUN
arjefm-59	25	13	mainly	mainly	ADV
arjefm-59	25	14	depends	depend	VERB
arjefm-59	25	15	on	on	ADP
arjefm-59	25	16	several	several	ADJ
arjefm-59	25	17	factors	factor	NOUN
arjefm-59	25	18	such	such	ADJ
arjefm-59	25	19	as	as	ADP
arjefm-59	25	20	choices	choice	NOUN
arjefm-59	25	21	of	of	ADP
arjefm-59	25	22	data	datum	NOUN
arjefm-59	25	23	frequency	frequency	NOUN
arjefm-59	25	24	,	,	PUNCT
arjefm-59	25	25	portfolio	portfolio	NOUN
arjefm-59	25	26	weighting	weight	VERB
arjefm-59	25	27	schemes	scheme	NOUN
arjefm-59	25	28	,	,	PUNCT
arjefm-59	25	29	break	break	NOUN
arjefm-59	25	30	point	point	NOUN
arjefm-59	25	31	calculations	calculation	NOUN
arjefm-59	25	32	and	and	CCONJ
arjefm-59	25	33	choice	choice	NOUN
arjefm-59	25	34	of	of	ADP
arjefm-59	25	35	screens	screen	NOUN
arjefm-59	25	36	in	in	ADP
arjefm-59	25	37	sample	sample	NOUN
arjefm-59	25	38	selection	selection	NOUN
arjefm-59	25	39	.	.	PUNCT
arjefm-59	26	1	this	this	PRON
arjefm-59	26	2	is	be	AUX
arjefm-59	26	3	clearly	clearly	ADV
arjefm-59	26	4	in	in	ADP
arjefm-59	26	5	line	line	NOUN
arjefm-59	26	6	with	with	ADP
arjefm-59	26	7	fama	fama	PROPN
arjefm-59	26	8	(	(	PUNCT
arjefm-59	26	9	1998	1998	NUM
arjefm-59	26	10	)	)	PUNCT
arjefm-59	26	11	who	who	PRON
arjefm-59	26	12	reports	report	VERB
arjefm-59	26	13	that	that	SCONJ
arjefm-59	26	14	changes	change	NOUN
arjefm-59	26	15	in	in	ADP
arjefm-59	26	16	the	the	DET
arjefm-59	26	17	long	long	ADJ
arjefm-59	26	18	term	term	NOUN
arjefm-59	26	19	returns	return	NOUN
arjefm-59	26	20	of	of	ADP
arjefm-59	26	21	the	the	DET
arjefm-59	26	22	stocks	stock	NOUN
arjefm-59	26	23	are	be	AUX
arjefm-59	26	24	highly	highly	ADV
arjefm-59	26	25	sensitive	sensitive	ADJ
arjefm-59	26	26	to	to	ADP
arjefm-59	26	27	the	the	DET
arjefm-59	26	28	methodology	methodology	NOUN
arjefm-59	26	29	and	and	CCONJ
arjefm-59	26	30	statistical	statistical	ADJ
arjefm-59	26	31	approaches	approach	NOUN
arjefm-59	26	32	that	that	PRON
arjefm-59	26	33	are	be	AUX
arjefm-59	26	34	used	use	VERB
arjefm-59	26	35	to	to	PART
arjefm-59	26	36	measure	measure	VERB
arjefm-59	26	37	them	they	PRON
arjefm-59	26	38	in	in	ADP
arjefm-59	26	39	different	different	ADJ
arjefm-59	26	40	studies	study	NOUN
arjefm-59	26	41	.	.	PUNCT
arjefm-59	27	1	in	in	ADP
arjefm-59	27	2	addition	addition	NOUN
arjefm-59	27	3	to	to	ADP
arjefm-59	27	4	that	that	PRON
arjefm-59	27	5	,	,	PUNCT
arjefm-59	27	6	it	it	PRON
arjefm-59	27	7	is	be	AUX
arjefm-59	27	8	surprising	surprising	ADJ
arjefm-59	27	9	to	to	PART
arjefm-59	27	10	observe	observe	VERB
arjefm-59	27	11	the	the	DET
arjefm-59	27	12	existence	existence	NOUN
arjefm-59	27	13	of	of	ADP
arjefm-59	27	14	idiosyncratic	idiosyncratic	ADJ
arjefm-59	27	15	volatility	volatility	NOUN
arjefm-59	27	16	in	in	ADP
arjefm-59	27	17	the	the	DET
arjefm-59	27	18	united	united	PROPN
arjefm-59	27	19	states	states	PROPN
arjefm-59	27	20	,	,	PUNCT
arjefm-59	27	21	as	as	SCONJ
arjefm-59	27	22	it	it	PRON
arjefm-59	27	23	is	be	AUX
arjefm-59	27	24	considered	consider	VERB
arjefm-59	27	25	to	to	PART
arjefm-59	27	26	be	be	AUX
arjefm-59	27	27	one	one	NUM
arjefm-59	27	28	of	of	ADP
arjefm-59	27	29	the	the	DET
arjefm-59	27	30	highly	highly	ADV
arjefm-59	27	31	transparent	transparent	ADJ
arjefm-59	27	32	markets	market	NOUN
arjefm-59	27	33	in	in	ADP
arjefm-59	27	34	the	the	DET
arjefm-59	27	35	world	world	NOUN
arjefm-59	27	36	(	(	PUNCT
arjefm-59	27	37	pukthuanthong	pukthuanthong	NOUN
arjefm-59	27	38	-	-	PUNCT
arjefm-59	27	39	le	le	NOUN
arjefm-59	27	40	&	&	CCONJ
arjefm-59	27	41	visaltanachoti	visaltanachoti	PROPN
arjefm-59	27	42	,	,	PUNCT
arjefm-59	27	43	2009	2009	NUM
arjefm-59	27	44	)	)	PUNCT
arjefm-59	27	45	.	.	PUNCT
arjefm-59	28	1	nevertheless	nevertheless	ADV
arjefm-59	28	2	,	,	PUNCT
arjefm-59	28	3	the	the	DET
arjefm-59	28	4	existence	existence	NOUN
arjefm-59	28	5	of	of	ADP
arjefm-59	28	6	idiosyncratic	idiosyncratic	ADJ
arjefm-59	28	7	volatility	volatility	NOUN
arjefm-59	28	8	becomes	become	VERB
arjefm-59	28	9	further	far	ADV
arjefm-59	28	10	complicated	complicated	ADJ
arjefm-59	28	11	in	in	ADP
arjefm-59	28	12	the	the	DET
arjefm-59	28	13	context	context	NOUN
arjefm-59	28	14	of	of	ADP
arjefm-59	28	15	other	other	ADJ
arjefm-59	28	16	markets	market	NOUN
arjefm-59	28	17	.	.	PUNCT
arjefm-59	29	1	for	for	ADP
arjefm-59	29	2	instance	instance	NOUN
arjefm-59	29	3	,	,	PUNCT
arjefm-59	29	4	kumari	kumari	PROPN
arjefm-59	29	5	,	,	PUNCT
arjefm-59	29	6	mahakudandhiremath(2017	mahakudandhiremath(2017	PRON
arjefm-59	29	7	)	)	PUNCT
arjefm-59	29	8	note	note	VERB
arjefm-59	29	9	the	the	DET
arjefm-59	29	10	existence	existence	NOUN
arjefm-59	29	11	of	of	ADP
arjefm-59	29	12	idiosyncratic	idiosyncratic	ADJ
arjefm-59	29	13	volatility	volatility	NOUN
arjefm-59	29	14	becomes	become	VERB
arjefm-59	29	15	complicated	complicated	ADJ
arjefm-59	29	16	in	in	ADP
arjefm-59	29	17	the	the	DET
arjefm-59	29	18	context	context	NOUN
arjefm-59	29	19	of	of	ADP
arjefm-59	29	20	emerging	emerge	VERB
arjefm-59	29	21	markets	market	NOUN
arjefm-59	29	22	as	as	SCONJ
arjefm-59	29	23	these	these	DET
arjefm-59	29	24	markets	market	NOUN
arjefm-59	29	25	characterize	characterize	VERB
arjefm-59	29	26	with	with	ADP
arjefm-59	29	27	features	feature	NOUN
arjefm-59	29	28	such	such	ADJ
arjefm-59	29	29	as	as	ADP
arjefm-59	29	30	higher	high	ADJ
arjefm-59	29	31	transaction	transaction	NOUN
arjefm-59	29	32	costs	cost	NOUN
arjefm-59	29	33	,	,	PUNCT
arjefm-59	29	34	multiple	multiple	ADJ
arjefm-59	29	35	tax	tax	NOUN
arjefm-59	29	36	regimes	regime	NOUN
arjefm-59	29	37	,	,	PUNCT
arjefm-59	29	38	lack	lack	NOUN
arjefm-59	29	39	of	of	ADP
arjefm-59	29	40	transparency	transparency	NOUN
arjefm-59	29	41	,	,	PUNCT
arjefm-59	29	42	illiquidity	illiquidity	NOUN
arjefm-59	29	43	which	which	PRON
arjefm-59	29	44	are	be	AUX
arjefm-59	29	45	unique	unique	ADJ
arjefm-59	29	46	to	to	ADP
arjefm-59	29	47	such	such	ADJ
arjefm-59	29	48	markets.therefore	markets.therefore	NOUN
arjefm-59	29	49	,	,	PUNCT
arjefm-59	29	50	this	this	PRON
arjefm-59	29	51	clearly	clearly	ADV
arjefm-59	29	52	challenges	challenge	VERB
arjefm-59	29	53	the	the	DET
arjefm-59	29	54	standpoint	standpoint	NOUN
arjefm-59	29	55	of	of	ADP
arjefm-59	29	56	empirical	empirical	ADJ
arjefm-59	29	57	asset	asset	NOUN
arjefm-59	29	58	pricing	pricing	NOUN
arjefm-59	29	59	models	model	NOUN
arjefm-59	29	60	such	such	ADJ
arjefm-59	29	61	as	as	ADP
arjefm-59	29	62	capm	capm	PROPN
arjefm-59	29	63	on	on	ADP
arjefm-59	29	64	the	the	DET
arjefm-59	29	65	relation	relation	NOUN
arjefm-59	29	66	between	between	ADP
arjefm-59	29	67	risk	risk	NOUN
arjefm-59	29	68	and	and	CCONJ
arjefm-59	29	69	returns	return	NOUN
arjefm-59	29	70	of	of	ADP
arjefm-59	29	71	an	an	DET
arjefm-59	29	72	asset.hence	asset.hence	NOUN
arjefm-59	29	73	,	,	PUNCT
arjefm-59	29	74	it	it	PRON
arjefm-59	29	75	is	be	AUX
arjefm-59	29	76	questionable	questionable	ADJ
arjefm-59	29	77	whether	whether	SCONJ
arjefm-59	29	78	the	the	DET
arjefm-59	29	79	systematic	systematic	ADJ
arjefm-59	29	80	risk	risk	NOUN
arjefm-59	29	81	is	be	AUX
arjefm-59	29	82	the	the	DET
arjefm-59	29	83	only	only	ADJ
arjefm-59	29	84	risk	risk	NOUN
arjefm-59	29	85	that	that	PRON
arjefm-59	29	86	should	should	AUX
arjefm-59	29	87	be	be	AUX
arjefm-59	29	88	priced	price	VERB
arjefm-59	29	89	in	in	ADP
arjefm-59	29	90	stock	stock	NOUN
arjefm-59	29	91	returns	return	NOUN
arjefm-59	29	92	(	(	PUNCT
arjefm-59	29	93	pukthuanthong	pukthuanthong	NOUN
arjefm-59	29	94	-	-	PUNCT
arjefm-59	29	95	le	le	NOUN
arjefm-59	29	96	&	&	CCONJ
arjefm-59	29	97	visaltanachoti	visaltanachoti	PROPN
arjefm-59	29	98	,	,	PUNCT
arjefm-59	29	99	2009	2009	NUM
arjefm-59	29	100	)	)	PUNCT
arjefm-59	29	101	.	.	PUNCT
arjefm-59	30	1	since	since	SCONJ
arjefm-59	30	2	,	,	PUNCT
arjefm-59	30	3	a	a	DET
arjefm-59	30	4	considerable	considerable	ADJ
arjefm-59	30	5	body	body	NOUN
arjefm-59	30	6	of	of	ADP
arjefm-59	30	7	extant	extant	ADJ
arjefm-59	30	8	literature	literature	NOUN
arjefm-59	30	9	on	on	ADP
arjefm-59	30	10	idiosyncratic	idiosyncratic	ADJ
arjefm-59	30	11	volatility	volatility	NOUN
arjefm-59	30	12	is	be	AUX
arjefm-59	30	13	focused	focus	VERB
arjefm-59	30	14	on	on	ADP
arjefm-59	30	15	developed	develop	VERB
arjefm-59	30	16	stock	stock	NOUN
arjefm-59	30	17	markets	market	NOUN
arjefm-59	30	18	such	such	ADJ
arjefm-59	30	19	as	as	ADP
arjefm-59	30	20	the	the	DET
arjefm-59	30	21	united	united	PROPN
arjefm-59	30	22	states	states	PROPN
arjefm-59	30	23	,	,	PUNCT
arjefm-59	30	24	it	it	PRON
arjefm-59	30	25	is	be	AUX
arjefm-59	30	26	important	important	ADJ
arjefm-59	30	27	to	to	PART
arjefm-59	30	28	investigate	investigate	VERB
arjefm-59	30	29	the	the	DET
arjefm-59	30	30	existence	existence	NOUN
arjefm-59	30	31	of	of	ADP
arjefm-59	30	32	idiosyncratic	idiosyncratic	ADJ
arjefm-59	30	33	volatility	volatility	NOUN
arjefm-59	30	34	from	from	ADP
arjefm-59	30	35	another	another	DET
arjefm-59	30	36	market	market	NOUN
arjefm-59	30	37	context	context	NOUN
arjefm-59	30	38	’s	’s	PART
arjefm-59	30	39	point	point	NOUN
arjefm-59	30	40	of	of	ADP
arjefm-59	30	41	view	view	NOUN
arjefm-59	30	42	.	.	PUNCT
arjefm-59	31	1	accordingly	accordingly	ADV
arjefm-59	31	2	,	,	PUNCT
arjefm-59	31	3	the	the	DET
arjefm-59	31	4	present	present	ADJ
arjefm-59	31	5	study	study	NOUN
arjefm-59	31	6	focuses	focus	VERB
arjefm-59	31	7	on	on	ADP
arjefm-59	31	8	the	the	DET
arjefm-59	31	9	idiosyncratic	idiosyncratic	ADJ
arjefm-59	31	10	puzzle	puzzle	NOUN
arjefm-59	31	11	from	from	ADP
arjefm-59	31	12	the	the	DET
arjefm-59	31	13	sri	sri	PROPN
arjefm-59	31	14	lankan	lankan	PROPN
arjefm-59	31	15	context	context	PROPN
arjefm-59	31	16	as	as	SCONJ
arjefm-59	31	17	there	there	PRON
arjefm-59	31	18	is	be	VERB
arjefm-59	31	19	a	a	DET
arjefm-59	31	20	dearth	dearth	NOUN
arjefm-59	31	21	of	of	ADP
arjefm-59	31	22	research	research	NOUN
arjefm-59	31	23	on	on	ADP
arjefm-59	31	24	idiosyncratic	idiosyncratic	ADJ
arjefm-59	31	25	volatility	volatility	NOUN
arjefm-59	31	26	in	in	ADP
arjefm-59	31	27	sri	sri	PROPN
arjefm-59	31	28	lanka	lanka	PROPN
arjefm-59	31	29	and	and	CCONJ
arjefm-59	31	30	particularly	particularly	ADV
arjefm-59	31	31	in	in	ADP
arjefm-59	31	32	the	the	DET
arjefm-59	31	33	frontier	frontier	NOUN
arjefm-59	31	34	market	market	NOUN
arjefm-59	31	35	context	context	NOUN
arjefm-59	31	36	.	.	PUNCT
arjefm-59	32	1	though	though	ADV
arjefm-59	32	2	,	,	PUNCT
arjefm-59	32	3	pukthuanthong	pukthuanthong	NOUN
arjefm-59	32	4	-	-	PUNCT
arjefm-59	32	5	le	le	NOUN
arjefm-59	32	6	and	and	CCONJ
arjefm-59	32	7	visaltanachoti	visaltanachoti	PROPN
arjefm-59	32	8	(	(	PUNCT
arjefm-59	32	9	2009	2009	NUM
arjefm-59	32	10	)	)	PUNCT
arjefm-59	32	11	examine	examine	VERB
arjefm-59	32	12	the	the	DET
arjefm-59	32	13	pricing	pricing	NOUN
arjefm-59	32	14	of	of	ADP
arjefm-59	32	15	idiosyncratic	idiosyncratic	ADJ
arjefm-59	32	16	volatility	volatility	NOUN
arjefm-59	32	17	by	by	ADP
arjefm-59	32	18	using	use	VERB
arjefm-59	32	19	the	the	DET
arjefm-59	32	20	capm	capm	PROPN
arjefm-59	32	21	,	,	PUNCT
arjefm-59	32	22	sri	sri	PROPN
arjefm-59	32	23	lankan	lankan	PROPN
arjefm-59	32	24	stock	stock	NOUN
arjefm-59	32	25	market	market	NOUN
arjefm-59	32	26	has	have	AUX
arjefm-59	32	27	been	be	AUX
arjefm-59	32	28	given	give	VERB
arjefm-59	32	29	only	only	ADV
arjefm-59	32	30	a	a	DET
arjefm-59	32	31	cursory	cursory	ADJ
arjefm-59	32	32	attention	attention	NOUN
arjefm-59	32	33	in	in	ADP
arjefm-59	32	34	that	that	DET
arjefm-59	32	35	study	study	NOUN
arjefm-59	32	36	.	.	PUNCT
arjefm-59	33	1	hence	hence	ADV
arjefm-59	33	2	,	,	PUNCT
arjefm-59	33	3	there	there	PRON
arjefm-59	33	4	is	be	VERB
arjefm-59	33	5	a	a	DET
arjefm-59	33	6	need	need	NOUN
arjefm-59	33	7	of	of	ADP
arjefm-59	33	8	an	an	DET
arjefm-59	33	9	in	in	ADP
arjefm-59	33	10	-	-	PUNCT
arjefm-59	33	11	depth	depth	NOUN
arjefm-59	33	12	study	study	NOUN
arjefm-59	33	13	focusing	focus	VERB
arjefm-59	33	14	only	only	ADV
arjefm-59	33	15	on	on	ADP
arjefm-59	33	16	the	the	DET
arjefm-59	33	17	sri	sri	ADJ
arjefm-59	33	18	lankan	lankan	PROPN
arjefm-59	33	19	stock	stock	NOUN
arjefm-59	33	20	market	market	NOUN
arjefm-59	33	21	.	.	PUNCT
arjefm-59	34	1	thus	thus	ADV
arjefm-59	34	2	,	,	PUNCT
arjefm-59	34	3	this	this	DET
arjefm-59	34	4	study	study	NOUN
arjefm-59	34	5	revisits	revisit	VERB
arjefm-59	34	6	the	the	DET
arjefm-59	34	7	relationship	relationship	NOUN
arjefm-59	34	8	between	between	ADP
arjefm-59	34	9	average	average	ADJ
arjefm-59	34	10	stock	stock	NOUN
arjefm-59	34	11	returns	return	NOUN
arjefm-59	34	12	and	and	CCONJ
arjefm-59	34	13	idiosyncratic	idiosyncratic	ADJ
arjefm-59	34	14	volatility	volatility	NOUN
arjefm-59	34	15	with	with	ADP
arjefm-59	34	16	an	an	DET
arjefm-59	34	17	updated	update	VERB
arjefm-59	34	18	data	datum	NOUN
arjefm-59	34	19	while	while	SCONJ
arjefm-59	34	20	using	use	VERB
arjefm-59	34	21	thefive	thefive	ADJ
arjefm-59	34	22	-	-	PUNCT
arjefm-59	34	23	factor	factor	NOUN
arjefm-59	34	24	asset	asset	NOUN
arjefm-59	34	25	pricing	pricing	NOUN
arjefm-59	34	26	model	model	NOUN
arjefm-59	34	27	offama	offama	NOUN
arjefm-59	34	28	and	and	CCONJ
arjefm-59	34	29	french	french	ADJ
arjefm-59	34	30	(	(	PUNCT
arjefm-59	34	31	2015	2015	NUM
arjefm-59	34	32	)	)	PUNCT
arjefm-59	34	33	.	.	PUNCT
arjefm-59	35	1	moreover	moreover	ADV
arjefm-59	35	2	,	,	PUNCT
arjefm-59	35	3	the	the	DET
arjefm-59	35	4	current	current	ADJ
arjefm-59	35	5	study	study	NOUN
arjefm-59	35	6	employs	employ	VERB
arjefm-59	35	7	the	the	DET
arjefm-59	35	8	exponential	exponential	ADJ
arjefm-59	35	9	generalized	generalize	VERB
arjefm-59	35	10	autoregressive	autoregressive	ADJ
arjefm-59	35	11	conditional	conditional	ADJ
arjefm-59	35	12	heteroscedasticity	heteroscedasticity	NOUN
arjefm-59	35	13	(	(	PUNCT
arjefm-59	35	14	egarch	egarch	NOUN
arjefm-59	35	15	)	)	PUNCT
arjefm-59	35	16	model	model	NOUN
arjefm-59	35	17	to	to	PART
arjefm-59	35	18	estimate	estimate	VERB
arjefm-59	35	19	the	the	DET
arjefm-59	35	20	idiosyncratic	idiosyncratic	ADJ
arjefm-59	35	21	volatility	volatility	NOUN
arjefm-59	35	22	of	of	ADP
arjefm-59	35	23	stocks	stock	NOUN
arjefm-59	35	24	.	.	PUNCT
arjefm-59	36	1	therefore	therefore	ADV
arjefm-59	36	2	,	,	PUNCT
arjefm-59	36	3	the	the	DET
arjefm-59	36	4	contribution	contribution	NOUN
arjefm-59	36	5	of	of	ADP
arjefm-59	36	6	the	the	DET
arjefm-59	36	7	present	present	ADJ
arjefm-59	36	8	study	study	NOUN
arjefm-59	36	9	to	to	ADP
arjefm-59	36	10	the	the	DET
arjefm-59	36	11	existing	exist	VERB
arjefm-59	36	12	literature	literature	NOUN
arjefm-59	36	13	is	be	AUX
arjefm-59	36	14	two	two	NUM
arjefm-59	36	15	-	-	NUM
arjefm-59	36	16	fold	fold	ADV
arjefm-59	36	17	.	.	PUNCT
arjefm-59	37	1	firstly	firstly	ADV
arjefm-59	37	2	,	,	PUNCT
arjefm-59	37	3	it	it	PRON
arjefm-59	37	4	sheds	shed	VERB
arjefm-59	37	5	light	light	NOUN
arjefm-59	37	6	on	on	ADP
arjefm-59	37	7	idiosyncratic	idiosyncratic	ADJ
arjefm-59	37	8	volatility	volatility	NOUN
arjefm-59	37	9	puzzle	puzzle	NOUN
arjefm-59	37	10	from	from	ADP
arjefm-59	37	11	a	a	DET
arjefm-59	37	12	frontier	frontier	NOUN
arjefm-59	37	13	market	market	NOUN
arjefm-59	37	14	point	point	NOUN
arjefm-59	37	15	of	of	ADP
arjefm-59	37	16	view	view	NOUN
arjefm-59	37	17	and	and	CCONJ
arjefm-59	37	18	thereby	thereby	ADV
arjefm-59	37	19	it	it	PRON
arjefm-59	37	20	explains	explain	VERB
arjefm-59	37	21	the	the	DET
arjefm-59	37	22	influence	influence	NOUN
arjefm-59	37	23	of	of	ADP
arjefm-59	37	24	idiosyncratic	idiosyncratic	ADJ
arjefm-59	37	25	volatility	volatility	NOUN
arjefm-59	37	26	on	on	ADP
arjefm-59	37	27	average	average	ADJ
arjefm-59	37	28	stock	stock	NOUN
arjefm-59	37	29	returns	return	NOUN
arjefm-59	37	30	.	.	PUNCT
arjefm-59	38	1	secondly	secondly	ADV
arjefm-59	38	2	and	and	CCONJ
arjefm-59	38	3	more	more	ADV
arjefm-59	38	4	importantly	importantly	ADV
arjefm-59	38	5	,	,	PUNCT
arjefm-59	38	6	this	this	DET
arjefm-59	38	7	study	study	NOUN
arjefm-59	38	8	provides	provide	VERB
arjefm-59	38	9	novel	novel	ADJ
arjefm-59	38	10	striking	striking	ADJ
arjefm-59	38	11	evidence	evidence	NOUN
arjefm-59	38	12	on	on	ADP
arjefm-59	38	13	the	the	DET
arjefm-59	38	14	characteristics	characteristic	NOUN
arjefm-59	38	15	of	of	ADP
arjefm-59	38	16	idiosyncratic	idiosyncratic	ADJ
arjefm-59	38	17	volatility	volatility	NOUN
arjefm-59	38	18	particularly	particularly	ADV
arjefm-59	38	19	in	in	ADP
arjefm-59	38	20	terms	term	NOUN
arjefm-59	38	21	of	of	ADP
arjefm-59	38	22	profitability	profitability	NOUN
arjefm-59	38	23	and	and	CCONJ
arjefm-59	38	24	investment	investment	NOUN
arjefm-59	38	25	factors	factor	NOUN
arjefm-59	38	26	with	with	ADP
arjefm-59	38	27	the	the	DET
arjefm-59	38	28	use	use	NOUN
arjefm-59	38	29	of	of	ADP
arjefm-59	38	30	a	a	DET
arjefm-59	38	31	five	five	NUM
arjefm-59	38	32	-	-	PUNCT
arjefm-59	38	33	factor	factor	NOUN
arjefm-59	38	34	asset	asset	NOUN
arjefm-59	38	35	pricing	pricing	NOUN
arjefm-59	38	36	model	model	NOUN
arjefm-59	38	37	of	of	ADP
arjefm-59	38	38	fama	fama	PROPN
arjefm-59	38	39	and	and	CCONJ
arjefm-59	38	40	french	french	ADJ
arjefm-59	38	41	(	(	PUNCT
arjefm-59	38	42	2015	2015	NUM
arjefm-59	38	43	)	)	PUNCT
arjefm-59	38	44	.	.	PUNCT
arjefm-59	39	1	the	the	DET
arjefm-59	39	2	remainder	remainder	NOUN
arjefm-59	39	3	of	of	ADP
arjefm-59	39	4	the	the	DET
arjefm-59	39	5	paper	paper	NOUN
arjefm-59	39	6	consists	consist	VERB
arjefm-59	39	7	as	as	SCONJ
arjefm-59	39	8	follows	follow	VERB
arjefm-59	39	9	;	;	PUNCT
arjefm-59	39	10	section	section	NOUN
arjefm-59	39	11	2	2	NUM
arjefm-59	39	12	discusses	discuss	VERB
arjefm-59	39	13	the	the	DET
arjefm-59	39	14	existing	exist	VERB
arjefm-59	39	15	literature	literature	NOUN
arjefm-59	39	16	in	in	ADP
arjefm-59	39	17	the	the	DET
arjefm-59	39	18	light	light	NOUN
arjefm-59	39	19	of	of	ADP
arjefm-59	39	20	idiosyncratic	idiosyncratic	ADJ
arjefm-59	39	21	volatility	volatility	NOUN
arjefm-59	39	22	while	while	SCONJ
arjefm-59	39	23	section	section	NOUN
arjefm-59	39	24	3	3	NUM
arjefm-59	39	25	elaborates	elaborate	VERB
arjefm-59	39	26	the	the	DET
arjefm-59	39	27	data	datum	NOUN
arjefm-59	39	28	and	and	CCONJ
arjefm-59	39	29	methodology	methodology	NOUN
arjefm-59	39	30	employed	employ	VERB
arjefm-59	39	31	in	in	ADP
arjefm-59	39	32	the	the	DET
arjefm-59	39	33	mailto:contact@americaserial.com	mailto:contact@americaserial.com	PROPN
arjefm-59	39	34	mailto:contact@americaserial.com	mailto:contact@americaserial.com	PROPN
arjefm-59	39	35	american	american	PROPN
arjefm-59	39	36	research	research	PROPN
arjefm-59	39	37	journal	journal	PROPN
arjefm-59	39	38	of	of	ADP
arjefm-59	39	39	economics	economic	NOUN
arjefm-59	39	40	,	,	PUNCT
arjefm-59	39	41	finance	finance	NOUN
arjefm-59	39	42	and	and	CCONJ
arjefm-59	39	43	management	management	NOUN
arjefm-59	39	44	volume	volume	NOUN
arjefm-59	39	45	10	10	NUM
arjefm-59	39	46	issue	issue	NOUN
arjefm-59	39	47	1	1	NUM
arjefm-59	39	48	,	,	PUNCT
arjefm-59	39	49	january	january	PROPN
arjefm-59	39	50	-	-	PUNCT
arjefm-59	39	51	march	march	PROPN
arjefm-59	39	52	2022	2022	NUM
arjefm-59	39	53	issn	issn	NOUN
arjefm-59	39	54	:	:	PUNCT
arjefm-59	39	55	2836	2836	NUM
arjefm-59	39	56	-	-	SYM
arjefm-59	39	57	9416	9416	NUM
arjefm-59	39	58	impact	impact	NOUN
arjefm-59	39	59	factor	factor	NOUN
arjefm-59	39	60	:	:	PUNCT
arjefm-59	39	61	4.85	4.85	NUM
arjefm-59	39	62	journal	journal	NOUN
arjefm-59	39	63	homepage	homepage	NOUN
arjefm-59	39	64	:	:	PUNCT
arjefm-59	39	65	https://americaserial.com/journals/index.php/arjefm	https://americaserial.com/journals/index.php/arjefm	NOUN
arjefm-59	39	66	,	,	PUNCT
arjefm-59	39	67	email	email	NOUN
arjefm-59	39	68	:	:	PUNCT
arjefm-59	39	69	contact@americaserial.com	contact@americaserial.com	PROPN
arjefm-59	39	70	official	official	ADJ
arjefm-59	39	71	journal	journal	PROPN
arjefm-59	39	72	of	of	ADP
arjefm-59	39	73	america	america	PROPN
arjefm-59	39	74	serial	serial	PROPN
arjefm-59	39	75	publication	publication	NOUN
arjefm-59	39	76	american	american	PROPN
arjefm-59	39	77	research	research	PROPN
arjefm-59	39	78	journal	journal	PROPN
arjefm-59	39	79	of	of	ADP
arjefm-59	39	80	economics	economic	NOUN
arjefm-59	39	81	,	,	PUNCT
arjefm-59	39	82	finance	finance	NOUN
arjefm-59	39	83	and	and	CCONJ
arjefm-59	39	84	management	management	NOUN
arjefm-59	39	85	https://americaserial.com/journals/index.php/arjefm	https://americaserial.com/journals/index.php/arjefm	NOUN
arjefm-59	39	86	,	,	PUNCT
arjefm-59	39	87	email	email	NOUN
arjefm-59	39	88	:	:	PUNCT
arjefm-59	40	1	contact@americaserial.com	contact@americaserial.com	X
arjefm-59	40	2	3	3	NUM
arjefm-59	41	1	|	|	ADV
arjefm-59	41	2	p	p	X
arjefm-59	41	3	a	a	DET
arjefm-59	41	4	g	g	NOUN
arjefm-59	41	5	e	e	NOUN
arjefm-59	41	6	current	current	ADJ
arjefm-59	41	7	study	study	NOUN
arjefm-59	41	8	.	.	PUNCT
arjefm-59	42	1	section	section	NOUN
arjefm-59	42	2	4	4	NUM
arjefm-59	42	3	provides	provide	VERB
arjefm-59	42	4	a	a	DET
arjefm-59	42	5	comprehensive	comprehensive	ADJ
arjefm-59	42	6	analysis	analysis	NOUN
arjefm-59	42	7	of	of	ADP
arjefm-59	42	8	data	datum	NOUN
arjefm-59	42	9	whereas	whereas	SCONJ
arjefm-59	42	10	section	section	NOUN
arjefm-59	42	11	5	5	NUM
arjefm-59	42	12	provides	provide	VERB
arjefm-59	42	13	the	the	DET
arjefm-59	42	14	conclusion	conclusion	NOUN
arjefm-59	42	15	of	of	ADP
arjefm-59	42	16	the	the	DET
arjefm-59	42	17	study	study	NOUN
arjefm-59	42	18	.	.	PUNCT
arjefm-59	43	1	2	2	X
arjefm-59	43	2	.	.	X
arjefm-59	43	3	review	review	NOUN
arjefm-59	43	4	of	of	ADP
arjefm-59	43	5	related	related	ADJ
arjefm-59	43	6	literature	literature	NOUN
arjefm-59	43	7	based	base	VERB
arjefm-59	43	8	on	on	ADP
arjefm-59	43	9	the	the	DET
arjefm-59	43	10	foundation	foundation	NOUN
arjefm-59	43	11	laid	lay	VERB
arjefm-59	43	12	by	by	ADP
arjefm-59	43	13	the	the	DET
arjefm-59	43	14	portfolio	portfolio	NOUN
arjefm-59	43	15	selection	selection	NOUN
arjefm-59	43	16	problem	problem	NOUN
arjefm-59	43	17	of	of	ADP
arjefm-59	43	18	markowitz	markowitz	PROPN
arjefm-59	43	19	(	(	PUNCT
arjefm-59	43	20	1952	1952	NUM
arjefm-59	43	21	)	)	PUNCT
arjefm-59	43	22	,	,	PUNCT
arjefm-59	43	23	modern	modern	ADJ
arjefm-59	43	24	portfolio	portfolio	NOUN
arjefm-59	43	25	theory	theory	NOUN
arjefm-59	43	26	(	(	PUNCT
arjefm-59	43	27	mpt	mpt	PROPN
arjefm-59	43	28	)	)	PUNCT
arjefm-59	43	29	notes	note	VERB
arjefm-59	43	30	that	that	SCONJ
arjefm-59	43	31	the	the	DET
arjefm-59	43	32	investment	investment	NOUN
arjefm-59	43	33	portfolios	portfolio	NOUN
arjefm-59	43	34	are	be	AUX
arjefm-59	43	35	constructed	construct	VERB
arjefm-59	43	36	based	base	VERB
arjefm-59	43	37	on	on	ADP
arjefm-59	43	38	the	the	DET
arjefm-59	43	39	performance	performance	NOUN
arjefm-59	43	40	of	of	ADP
arjefm-59	43	41	different	different	ADJ
arjefm-59	43	42	assets	asset	NOUN
arjefm-59	43	43	and	and	CCONJ
arjefm-59	43	44	risk	risk	NOUN
arjefm-59	43	45	appetite	appetite	NOUN
arjefm-59	43	46	of	of	ADP
arjefm-59	43	47	the	the	DET
arjefm-59	43	48	investors	investor	NOUN
arjefm-59	43	49	.	.	PUNCT
arjefm-59	44	1	however	however	ADV
arjefm-59	44	2	,	,	PUNCT
arjefm-59	44	3	being	be	AUX
arjefm-59	44	4	a	a	DET
arjefm-59	44	5	normative	normative	ADJ
arjefm-59	44	6	theory	theory	NOUN
arjefm-59	44	7	,	,	PUNCT
arjefm-59	44	8	portfolio	portfolio	NOUN
arjefm-59	44	9	selection	selection	NOUN
arjefm-59	44	10	explains	explain	VERB
arjefm-59	44	11	how	how	SCONJ
arjefm-59	44	12	investors	investor	NOUN
arjefm-59	44	13	should	should	AUX
arjefm-59	44	14	behave	behave	VERB
arjefm-59	44	15	while	while	SCONJ
arjefm-59	44	16	as	as	ADP
arjefm-59	44	17	a	a	DET
arjefm-59	44	18	positive	positive	ADJ
arjefm-59	44	19	theory	theory	NOUN
arjefm-59	44	20	,	,	PUNCT
arjefm-59	44	21	asset	asset	NOUN
arjefm-59	44	22	pricing	pricing	NOUN
arjefm-59	44	23	attempts	attempt	VERB
arjefm-59	44	24	to	to	PART
arjefm-59	44	25	predict	predict	VERB
arjefm-59	44	26	investment	investment	NOUN
arjefm-59	44	27	decisions	decision	NOUN
arjefm-59	44	28	based	base	VERB
arjefm-59	44	29	on	on	ADP
arjefm-59	44	30	mean	mean	ADJ
arjefm-59	44	31	-	-	PUNCT
arjefm-59	44	32	variance	variance	NOUN
arjefm-59	44	33	analysis	analysis	NOUN
arjefm-59	44	34	(	(	PUNCT
arjefm-59	44	35	fabozzi	fabozzi	NOUN
arjefm-59	44	36	,	,	PUNCT
arjefm-59	44	37	gupta&markowitz	gupta&markowitz	PROPN
arjefm-59	44	38	,	,	PUNCT
arjefm-59	44	39	2002	2002	NUM
arjefm-59	44	40	)	)	PUNCT
arjefm-59	44	41	.	.	PUNCT
arjefm-59	45	1	hence	hence	ADV
arjefm-59	45	2	,	,	PUNCT
arjefm-59	45	3	the	the	DET
arjefm-59	45	4	asset	asset	NOUN
arjefm-59	45	5	pricing	pricing	NOUN
arjefm-59	45	6	theory	theory	NOUN
arjefm-59	45	7	builds	build	VERB
arjefm-59	45	8	a	a	DET
arjefm-59	45	9	nexus	nexus	NOUN
arjefm-59	45	10	between	between	ADP
arjefm-59	45	11	risk	risk	NOUN
arjefm-59	45	12	and	and	CCONJ
arjefm-59	45	13	return	return	NOUN
arjefm-59	45	14	of	of	ADP
arjefm-59	45	15	an	an	DET
arjefm-59	45	16	asset	asset	NOUN
arjefm-59	45	17	.	.	PUNCT
arjefm-59	46	1	even	even	ADV
arjefm-59	46	2	though	though	SCONJ
arjefm-59	46	3	the	the	DET
arjefm-59	46	4	asset	asset	NOUN
arjefm-59	46	5	pricing	pricing	NOUN
arjefm-59	46	6	theory	theory	NOUN
arjefm-59	46	7	emerges	emerge	VERB
arjefm-59	46	8	with	with	ADP
arjefm-59	46	9	the	the	DET
arjefm-59	46	10	capm	capm	PROPN
arjefm-59	46	11	of	of	ADP
arjefm-59	46	12	sharpe	sharpe	PROPN
arjefm-59	46	13	(	(	PUNCT
arjefm-59	46	14	1964	1964	NUM
arjefm-59	46	15	)	)	PUNCT
arjefm-59	46	16	,	,	PUNCT
arjefm-59	46	17	famaand	famaand	NOUN
arjefm-59	46	18	french	french	NOUN
arjefm-59	46	19	(	(	PUNCT
arjefm-59	46	20	2004	2004	NUM
arjefm-59	46	21	)	)	PUNCT
arjefm-59	46	22	note	note	NOUN
arjefm-59	46	23	that	that	SCONJ
arjefm-59	46	24	simplified	simplified	ADJ
arjefm-59	46	25	assumptions	assumption	NOUN
arjefm-59	46	26	of	of	ADP
arjefm-59	46	27	capm	capm	PROPN
arjefm-59	46	28	made	make	VERB
arjefm-59	46	29	it	it	PRON
arjefm-59	46	30	empirically	empirically	ADV
arjefm-59	46	31	less	less	ADV
arjefm-59	46	32	successful	successful	ADJ
arjefm-59	46	33	;	;	PUNCT
arjefm-59	46	34	many	many	ADJ
arjefm-59	46	35	extensions	extension	NOUN
arjefm-59	46	36	have	have	AUX
arjefm-59	46	37	been	be	AUX
arjefm-59	46	38	made	make	VERB
arjefm-59	46	39	to	to	ADP
arjefm-59	46	40	the	the	DET
arjefm-59	46	41	capm	capm	NOUN
arjefm-59	46	42	in	in	ADP
arjefm-59	46	43	order	order	NOUN
arjefm-59	46	44	to	to	PART
arjefm-59	46	45	examine	examine	VERB
arjefm-59	46	46	the	the	DET
arjefm-59	46	47	relation	relation	NOUN
arjefm-59	46	48	between	between	ADP
arjefm-59	46	49	risk	risk	NOUN
arjefm-59	46	50	and	and	CCONJ
arjefm-59	46	51	return	return	NOUN
arjefm-59	46	52	of	of	ADP
arjefm-59	46	53	an	an	DET
arjefm-59	46	54	asset	asset	NOUN
arjefm-59	46	55	.	.	PUNCT
arjefm-59	47	1	for	for	ADP
arjefm-59	47	2	instance	instance	NOUN
arjefm-59	47	3	,	,	PUNCT
arjefm-59	47	4	arbitrage	arbitrage	NOUN
arjefm-59	47	5	pricing	pricing	NOUN
arjefm-59	47	6	model	model	NOUN
arjefm-59	47	7	(	(	PUNCT
arjefm-59	47	8	ross	ross	PROPN
arjefm-59	47	9	,	,	PUNCT
arjefm-59	47	10	1976	1976	NUM
arjefm-59	47	11	)	)	PUNCT
arjefm-59	47	12	,	,	PUNCT
arjefm-59	47	13	three	three	NUM
arjefm-59	47	14	-	-	PUNCT
arjefm-59	47	15	factor	factor	NOUN
arjefm-59	47	16	asset	asset	NOUN
arjefm-59	47	17	pricing	pricing	NOUN
arjefm-59	47	18	model	model	NOUN
arjefm-59	47	19	(	(	PUNCT
arjefm-59	47	20	fama	fama	PROPN
arjefm-59	47	21	&	&	CCONJ
arjefm-59	47	22	french	french	PROPN
arjefm-59	47	23	,	,	PUNCT
arjefm-59	47	24	1993	1993	NUM
arjefm-59	47	25	)	)	PUNCT
arjefm-59	47	26	,	,	PUNCT
arjefm-59	47	27	four	four	NUM
arjefm-59	47	28	-	-	PUNCT
arjefm-59	47	29	factor	factor	NOUN
arjefm-59	47	30	asset	asset	NOUN
arjefm-59	47	31	pricing	pricing	NOUN
arjefm-59	47	32	model	model	NOUN
arjefm-59	47	33	(	(	PUNCT
arjefm-59	47	34	carhart	carhart	NOUN
arjefm-59	47	35	,	,	PUNCT
arjefm-59	47	36	1997	1997	NUM
arjefm-59	47	37	)	)	PUNCT
arjefm-59	47	38	and	and	CCONJ
arjefm-59	47	39	five	five	NUM
arjefm-59	47	40	-	-	PUNCT
arjefm-59	47	41	factor	factor	NOUN
arjefm-59	47	42	asset	asset	NOUN
arjefm-59	47	43	pricing	pricing	NOUN
arjefm-59	47	44	model	model	NOUN
arjefm-59	47	45	(	(	PUNCT
arjefm-59	47	46	fama	fama	PROPN
arjefm-59	47	47	&	&	CCONJ
arjefm-59	47	48	french	french	PROPN
arjefm-59	47	49	,	,	PUNCT
arjefm-59	47	50	2015	2015	NUM
arjefm-59	47	51	)	)	PUNCT
arjefm-59	47	52	are	be	AUX
arjefm-59	47	53	some	some	PRON
arjefm-59	47	54	of	of	ADP
arjefm-59	47	55	the	the	DET
arjefm-59	47	56	popular	popular	ADJ
arjefm-59	47	57	factor	factor	NOUN
arjefm-59	47	58	models	model	NOUN
arjefm-59	47	59	that	that	PRON
arjefm-59	47	60	develop	develop	VERB
arjefm-59	47	61	to	to	PART
arjefm-59	47	62	determine	determine	VERB
arjefm-59	47	63	the	the	DET
arjefm-59	47	64	price	price	NOUN
arjefm-59	47	65	of	of	ADP
arjefm-59	47	66	an	an	DET
arjefm-59	47	67	asset	asset	NOUN
arjefm-59	47	68	.	.	PUNCT
arjefm-59	48	1	nevertheless	nevertheless	ADV
arjefm-59	48	2	,	,	PUNCT
arjefm-59	48	3	all	all	DET
arjefm-59	48	4	factor	factor	NOUN
arjefm-59	48	5	models	model	NOUN
arjefm-59	48	6	expect	expect	VERB
arjefm-59	48	7	investors	investor	NOUN
arjefm-59	48	8	to	to	PART
arjefm-59	48	9	act	act	VERB
arjefm-59	48	10	upon	upon	SCONJ
arjefm-59	48	11	the	the	DET
arjefm-59	48	12	changes	change	NOUN
arjefm-59	48	13	in	in	ADP
arjefm-59	48	14	the	the	DET
arjefm-59	48	15	market	market	NOUN
arjefm-59	48	16	as	as	ADV
arjefm-59	48	17	quickly	quickly	ADV
arjefm-59	48	18	as	as	SCONJ
arjefm-59	48	19	they	they	PRON
arjefm-59	48	20	observe	observe	VERB
arjefm-59	48	21	them.this	them.this	PRON
arjefm-59	48	22	is	be	AUX
arjefm-59	48	23	so	so	SCONJ
arjefm-59	48	24	because	because	SCONJ
arjefm-59	48	25	the	the	DET
arjefm-59	48	26	financial	financial	ADJ
arjefm-59	48	27	models	model	NOUN
arjefm-59	48	28	presume	presume	VERB
arjefm-59	48	29	that	that	SCONJ
arjefm-59	48	30	markets	market	NOUN
arjefm-59	48	31	are	be	AUX
arjefm-59	48	32	frictionless	frictionless	ADJ
arjefm-59	48	33	and	and	CCONJ
arjefm-59	48	34	investors	investor	NOUN
arjefm-59	48	35	are	be	AUX
arjefm-59	48	36	equipped	equip	VERB
arjefm-59	48	37	with	with	ADP
arjefm-59	48	38	all	all	DET
arjefm-59	48	39	information	information	NOUN
arjefm-59	48	40	(	(	PUNCT
arjefm-59	48	41	merton	merton	NOUN
arjefm-59	48	42	,	,	PUNCT
arjefm-59	48	43	1987	1987	NUM
arjefm-59	48	44	)	)	PUNCT
arjefm-59	48	45	.	.	PUNCT
arjefm-59	49	1	on	on	ADP
arjefm-59	49	2	contrary	contrary	PROPN
arjefm-59	49	3	,	,	PUNCT
arjefm-59	49	4	the	the	DET
arjefm-59	49	5	empirical	empirical	ADJ
arjefm-59	49	6	evidence	evidence	NOUN
arjefm-59	49	7	shows	show	VERB
arjefm-59	49	8	various	various	ADJ
arjefm-59	49	9	trading	trading	NOUN
arjefm-59	49	10	frictions	friction	NOUN
arjefm-59	49	11	in	in	ADP
arjefm-59	49	12	the	the	DET
arjefm-59	49	13	market	market	NOUN
arjefm-59	49	14	that	that	PRON
arjefm-59	49	15	prevent	prevent	VERB
arjefm-59	49	16	investors	investor	NOUN
arjefm-59	49	17	from	from	ADP
arjefm-59	49	18	making	make	VERB
arjefm-59	49	19	accurate	accurate	ADJ
arjefm-59	49	20	investment	investment	NOUN
arjefm-59	49	21	decisions	decision	NOUN
arjefm-59	49	22	(	(	PUNCT
arjefm-59	49	23	hou&moskowitz	hou&moskowitz	PROPN
arjefm-59	49	24	,	,	PUNCT
arjefm-59	49	25	2005	2005	NUM
arjefm-59	49	26	;	;	PUNCT
arjefm-59	49	27	miller	miller	PROPN
arjefm-59	49	28	&	&	CCONJ
arjefm-59	49	29	scholes	scholes	PROPN
arjefm-59	49	30	,	,	PUNCT
arjefm-59	49	31	1982;amihud&mendelson	1982;amihud&mendelson	NUM
arjefm-59	49	32	,	,	PUNCT
arjefm-59	49	33	1986	1986	NUM
arjefm-59	49	34	;	;	PUNCT
arjefm-59	49	35	amihud	amihud	PROPN
arjefm-59	49	36	,	,	PUNCT
arjefm-59	49	37	2002	2002	NUM
arjefm-59	49	38	;	;	PUNCT
arjefm-59	49	39	pastor	pastor	NOUN
arjefm-59	49	40	&	&	CCONJ
arjefm-59	49	41	stambaugh	stambaugh	PROPN
arjefm-59	49	42	,	,	PUNCT
arjefm-59	49	43	2003	2003	NUM
arjefm-59	49	44	)	)	PUNCT
arjefm-59	49	45	.	.	PUNCT
arjefm-59	50	1	moreover	moreover	ADV
arjefm-59	50	2	,	,	PUNCT
arjefm-59	50	3	the	the	DET
arjefm-59	50	4	information	information	NOUN
arjefm-59	50	5	asymmetries	asymmetry	NOUN
arjefm-59	50	6	in	in	ADP
arjefm-59	50	7	the	the	DET
arjefm-59	50	8	market	market	NOUN
arjefm-59	50	9	prevent	prevent	VERB
arjefm-59	50	10	the	the	DET
arjefm-59	50	11	investors	investor	NOUN
arjefm-59	50	12	from	from	ADP
arjefm-59	50	13	holding	hold	VERB
arjefm-59	50	14	diversified	diversified	ADJ
arjefm-59	50	15	portfolios	portfolio	NOUN
arjefm-59	50	16	.	.	PUNCT
arjefm-59	51	1	in	in	ADP
arjefm-59	51	2	the	the	DET
arjefm-59	51	3	context	context	NOUN
arjefm-59	51	4	of	of	ADP
arjefm-59	51	5	a	a	DET
arjefm-59	51	6	stock	stock	NOUN
arjefm-59	51	7	market	market	NOUN
arjefm-59	51	8	,	,	PUNCT
arjefm-59	51	9	there	there	PRON
arjefm-59	51	10	are	be	VERB
arjefm-59	51	11	low	low	ADV
arjefm-59	51	12	priced	price	VERB
arjefm-59	51	13	securities	security	NOUN
arjefm-59	51	14	with	with	ADP
arjefm-59	51	15	high	high	ADJ
arjefm-59	51	16	idiosyncratic	idiosyncratic	ADJ
arjefm-59	51	17	volatility	volatility	NOUN
arjefm-59	51	18	where	where	SCONJ
arjefm-59	51	19	kumar	kumar	PROPN
arjefm-59	51	20	(	(	PUNCT
arjefm-59	51	21	2009	2009	NUM
arjefm-59	51	22	)	)	PUNCT
arjefm-59	51	23	identifies	identify	VERB
arjefm-59	51	24	them	they	PRON
arjefm-59	51	25	as	as	ADP
arjefm-59	51	26	‘	'	PUNCT
arjefm-59	51	27	lottery	lottery	NOUN
arjefm-59	51	28	-	-	PUNCT
arjefm-59	51	29	like	like	ADJ
arjefm-59	51	30	’	'	PUNCT
arjefm-59	51	31	securities	security	NOUN
arjefm-59	51	32	.	.	PUNCT
arjefm-59	52	1	confirming	confirm	VERB
arjefm-59	52	2	the	the	DET
arjefm-59	52	3	findings	finding	NOUN
arjefm-59	52	4	of	of	ADP
arjefm-59	52	5	kumar	kumar	PROPN
arjefm-59	52	6	(	(	PUNCT
arjefm-59	52	7	2009	2009	NUM
arjefm-59	52	8	)	)	PUNCT
arjefm-59	52	9	,	,	PUNCT
arjefm-59	52	10	bali	bali	PROPN
arjefm-59	52	11	,	,	PUNCT
arjefm-59	52	12	cakiciand	cakiciand	PROPN
arjefm-59	52	13	whitelaw	whitelaw	PROPN
arjefm-59	52	14	(	(	PUNCT
arjefm-59	52	15	2011	2011	NUM
arjefm-59	52	16	)	)	PUNCT
arjefm-59	52	17	highlight	highlight	VERB
arjefm-59	52	18	that	that	SCONJ
arjefm-59	52	19	investors	investor	NOUN
arjefm-59	52	20	tend	tend	VERB
arjefm-59	52	21	to	to	PART
arjefm-59	52	22	choose	choose	VERB
arjefm-59	52	23	‘	'	PUNCT
arjefm-59	52	24	lottery	lottery	NOUN
arjefm-59	52	25	-	-	PUNCT
arjefm-59	52	26	like	like	ADJ
arjefm-59	52	27	’	'	PUNCT
arjefm-59	52	28	securities	security	NOUN
arjefm-59	52	29	to	to	PART
arjefm-59	52	30	overcome	overcome	VERB
arjefm-59	52	31	the	the	DET
arjefm-59	52	32	imperfect	imperfect	ADJ
arjefm-59	52	33	diversification	diversification	NOUN
arjefm-59	52	34	problem	problem	NOUN
arjefm-59	52	35	.	.	PUNCT
arjefm-59	53	1	hence	hence	ADV
arjefm-59	53	2	,	,	PUNCT
arjefm-59	53	3	it	it	PRON
arjefm-59	53	4	is	be	AUX
arjefm-59	53	5	questionable	questionable	ADJ
arjefm-59	53	6	to	to	ADP
arjefm-59	53	7	what	what	DET
arjefm-59	53	8	extent	extent	NOUN
arjefm-59	53	9	the	the	DET
arjefm-59	53	10	role	role	NOUN
arjefm-59	53	11	of	of	ADP
arjefm-59	53	12	idiosyncratic	idiosyncratic	ADJ
arjefm-59	53	13	volatility	volatility	NOUN
arjefm-59	53	14	can	can	AUX
arjefm-59	53	15	be	be	AUX
arjefm-59	53	16	ignored	ignore	VERB
arjefm-59	53	17	in	in	ADP
arjefm-59	53	18	asset	asset	NOUN
arjefm-59	53	19	pricing	pricing	NOUN
arjefm-59	53	20	decisions	decision	NOUN
arjefm-59	53	21	.	.	PUNCT
arjefm-59	54	1	moreover	moreover	ADV
arjefm-59	54	2	,	,	PUNCT
arjefm-59	54	3	in	in	ADP
arjefm-59	54	4	the	the	DET
arjefm-59	54	5	presence	presence	NOUN
arjefm-59	54	6	of	of	ADP
arjefm-59	54	7	information	information	NOUN
arjefm-59	54	8	asymmetries	asymmetry	NOUN
arjefm-59	54	9	in	in	ADP
arjefm-59	54	10	the	the	DET
arjefm-59	54	11	market	market	NOUN
arjefm-59	54	12	,	,	PUNCT
arjefm-59	54	13	factor	factor	NOUN
arjefm-59	54	14	models	model	NOUN
arjefm-59	54	15	poorly	poorly	ADV
arjefm-59	54	16	perform	perform	VERB
arjefm-59	54	17	in	in	ADP
arjefm-59	54	18	capturing	capture	VERB
arjefm-59	54	19	the	the	DET
arjefm-59	54	20	diversification	diversification	NOUN
arjefm-59	54	21	decisions	decision	NOUN
arjefm-59	54	22	of	of	ADP
arjefm-59	54	23	investors	investor	NOUN
arjefm-59	54	24	(	(	PUNCT
arjefm-59	54	25	merton	merton	PROPN
arjefm-59	54	26	,	,	PUNCT
arjefm-59	54	27	1987	1987	NUM
arjefm-59	54	28	)	)	PUNCT
arjefm-59	54	29	.	.	PUNCT
arjefm-59	55	1	therefore	therefore	ADV
arjefm-59	55	2	,	,	PUNCT
arjefm-59	55	3	ang	ang	INTJ
arjefm-59	55	4	et	et	PROPN
arjefm-59	55	5	al	al	PROPN
arjefm-59	55	6	.	.	PROPN
arjefm-59	55	7	(	(	PUNCT
arjefm-59	55	8	2009	2009	NUM
arjefm-59	55	9	)	)	PUNCT
arjefm-59	55	10	argue	argue	VERB
arjefm-59	55	11	that	that	SCONJ
arjefm-59	55	12	there	there	PRON
arjefm-59	55	13	is	be	VERB
arjefm-59	55	14	a	a	DET
arjefm-59	55	15	possibility	possibility	NOUN
arjefm-59	55	16	of	of	ADP
arjefm-59	55	17	generating	generate	VERB
arjefm-59	55	18	a	a	DET
arjefm-59	55	19	nexus	nexus	NOUN
arjefm-59	55	20	between	between	ADP
arjefm-59	55	21	average	average	ADJ
arjefm-59	55	22	stock	stock	NOUN
arjefm-59	55	23	returns	return	NOUN
arjefm-59	55	24	and	and	CCONJ
arjefm-59	55	25	idiosyncratic	idiosyncratic	ADJ
arjefm-59	55	26	volatility	volatility	NOUN
arjefm-59	55	27	since	since	SCONJ
arjefm-59	55	28	the	the	DET
arjefm-59	55	29	factor	factor	NOUN
arjefm-59	55	30	models	model	NOUN
arjefm-59	55	31	fail	fail	VERB
arjefm-59	55	32	to	to	PART
arjefm-59	55	33	specify	specify	VERB
arjefm-59	55	34	the	the	DET
arjefm-59	55	35	role	role	NOUN
arjefm-59	55	36	of	of	ADP
arjefm-59	55	37	idiosyncratic	idiosyncratic	ADJ
arjefm-59	55	38	volatility	volatility	NOUN
arjefm-59	55	39	in	in	ADP
arjefm-59	55	40	asset	asset	NOUN
arjefm-59	55	41	pricing	pricing	NOUN
arjefm-59	55	42	decisions	decision	NOUN
arjefm-59	55	43	.	.	PUNCT
arjefm-59	56	1	this	this	DET
arjefm-59	56	2	clearly	clearly	ADV
arjefm-59	56	3	highlights	highlight	VERB
arjefm-59	56	4	that	that	DET
arjefm-59	56	5	idiosyncratic	idiosyncratic	ADJ
arjefm-59	56	6	volatility	volatility	NOUN
arjefm-59	56	7	plays	play	VERB
arjefm-59	56	8	a	a	DET
arjefm-59	56	9	critical	critical	ADJ
arjefm-59	56	10	rolein	rolein	ADJ
arjefm-59	56	11	investment	investment	NOUN
arjefm-59	56	12	decisions	decision	NOUN
arjefm-59	56	13	.	.	PUNCT
arjefm-59	57	1	despite	despite	SCONJ
arjefm-59	57	2	its	its	PRON
arjefm-59	57	3	relative	relative	ADJ
arjefm-59	57	4	significance	significance	NOUN
arjefm-59	57	5	in	in	ADP
arjefm-59	57	6	investment	investment	NOUN
arjefm-59	57	7	decisions	decision	NOUN
arjefm-59	57	8	,	,	PUNCT
arjefm-59	57	9	scholars	scholar	NOUN
arjefm-59	57	10	have	have	AUX
arjefm-59	57	11	used	use	VERB
arjefm-59	57	12	different	different	ADJ
arjefm-59	57	13	methods	method	NOUN
arjefm-59	57	14	to	to	PART
arjefm-59	57	15	estimate	estimate	VERB
arjefm-59	57	16	the	the	DET
arjefm-59	57	17	idiosyncraticvolatility	idiosyncraticvolatility	NOUN
arjefm-59	57	18	of	of	ADP
arjefm-59	57	19	stocks	stock	NOUN
arjefm-59	57	20	.	.	PUNCT
arjefm-59	58	1	for	for	ADP
arjefm-59	58	2	instance	instance	NOUN
arjefm-59	58	3	,	,	PUNCT
arjefm-59	58	4	in	in	ADP
arjefm-59	58	5	the	the	DET
arjefm-59	58	6	path	path	NOUN
arjefm-59	58	7	breaking	break	VERB
arjefm-59	58	8	seminal	seminal	ADJ
arjefm-59	58	9	work	work	NOUN
arjefm-59	58	10	of	of	ADP
arjefm-59	58	11	ang	ang	INTJ
arjefm-59	58	12	et	et	PROPN
arjefm-59	58	13	al	al	PROPN
arjefm-59	58	14	.	.	PROPN
arjefm-59	58	15	(	(	PUNCT
arjefm-59	58	16	2006	2006	NUM
arjefm-59	58	17	)	)	PUNCT
arjefm-59	58	18	on	on	ADP
arjefm-59	58	19	idiosyncratic	idiosyncratic	ADJ
arjefm-59	58	20	volatility	volatility	NOUN
arjefm-59	58	21	,	,	PUNCT
arjefm-59	58	22	the	the	DET
arjefm-59	58	23	authors	author	NOUN
arjefm-59	58	24	use	use	VERB
arjefm-59	58	25	one	one	NUM
arjefm-59	58	26	month	month	NOUN
arjefm-59	58	27	lagged	lag	VERB
arjefm-59	58	28	idiosyncratic	idiosyncratic	ADJ
arjefm-59	58	29	volatility	volatility	NOUN
arjefm-59	58	30	as	as	ADP
arjefm-59	58	31	a	a	DET
arjefm-59	58	32	proxy	proxy	NOUN
arjefm-59	58	33	for	for	ADP
arjefm-59	58	34	idiosyncratic	idiosyncratic	ADJ
arjefm-59	58	35	volatility	volatility	NOUN
arjefm-59	58	36	of	of	ADP
arjefm-59	58	37	stocks	stock	NOUN
arjefm-59	58	38	while	while	SCONJ
arjefm-59	58	39	bali	bali	PROPN
arjefm-59	58	40	andcakici	andcakici	PROPN
arjefm-59	58	41	,	,	PUNCT
arjefm-59	58	42	(	(	PUNCT
arjefm-59	58	43	2008	2008	NUM
arjefm-59	58	44	)	)	PUNCT
arjefm-59	58	45	also	also	ADV
arjefm-59	58	46	adopt	adopt	VERB
arjefm-59	58	47	the	the	DET
arjefm-59	58	48	same	same	ADJ
arjefm-59	58	49	technique	technique	NOUN
arjefm-59	58	50	in	in	ADP
arjefm-59	58	51	their	their	PRON
arjefm-59	58	52	study	study	NOUN
arjefm-59	58	53	.	.	PUNCT
arjefm-59	59	1	in	in	ADP
arjefm-59	59	2	contrast	contrast	NOUN
arjefm-59	59	3	,	,	PUNCT
arjefm-59	59	4	while	while	SCONJ
arjefm-59	59	5	highlighting	highlight	VERB
arjefm-59	59	6	the	the	DET
arjefm-59	59	7	estimation	estimation	NOUN
arjefm-59	59	8	errors	error	NOUN
arjefm-59	59	9	of	of	ADP
arjefm-59	59	10	the	the	DET
arjefm-59	59	11	previous	previous	ADJ
arjefm-59	59	12	techniques	technique	NOUN
arjefm-59	59	13	,	,	PUNCT
arjefm-59	59	14	fu	fu	NOUN
arjefm-59	59	15	(	(	PUNCT
arjefm-59	59	16	2009	2009	NUM
arjefm-59	59	17	)	)	PUNCT
arjefm-59	59	18	suggeststhe	suggeststhe	PROPN
arjefm-59	59	19	egarch	egarch	NOUN
arjefm-59	59	20	technique	technique	NOUN
arjefm-59	59	21	of	of	ADP
arjefm-59	59	22	nelson	nelson	PROPN
arjefm-59	59	23	(	(	PUNCT
arjefm-59	59	24	1991	1991	NUM
arjefm-59	59	25	)	)	PUNCT
arjefm-59	59	26	to	to	PART
arjefm-59	59	27	estimate	estimate	VERB
arjefm-59	59	28	the	the	DET
arjefm-59	59	29	idiosyncratic	idiosyncratic	ADJ
arjefm-59	59	30	volatility	volatility	NOUN
arjefm-59	59	31	of	of	ADP
arjefm-59	59	32	stocks	stock	NOUN
arjefm-59	59	33	.	.	PUNCT
arjefm-59	60	1	similarly	similarly	ADV
arjefm-59	60	2	,	,	PUNCT
arjefm-59	60	3	pukthuanthong	pukthuanthong	NOUN
arjefm-59	60	4	-	-	PUNCT
arjefm-59	60	5	le	le	NOUN
arjefm-59	60	6	and	and	CCONJ
arjefm-59	60	7	visaltanachoti(2009)and	visaltanachoti(2009)and	VERB
arjefm-59	60	8	kumariet	kumariet	PROPN
arjefm-59	60	9	al.(2017	al.(2017	NOUN
arjefm-59	60	10	)	)	PUNCT
arjefm-59	60	11	also	also	ADV
arjefm-59	60	12	follow	follow	VERB
arjefm-59	60	13	fu	fu	PROPN
arjefm-59	60	14	’s	’s	PART
arjefm-59	60	15	approach	approach	NOUN
arjefm-59	60	16	in	in	ADP
arjefm-59	60	17	order	order	NOUN
arjefm-59	60	18	to	to	PART
arjefm-59	60	19	estimate	estimate	VERB
arjefm-59	60	20	the	the	DET
arjefm-59	60	21	idiosyncratic	idiosyncratic	ADJ
arjefm-59	60	22	volatility	volatility	NOUN
arjefm-59	60	23	of	of	ADP
arjefm-59	60	24	stocks	stock	NOUN
arjefm-59	60	25	.	.	PUNCT
arjefm-59	61	1	mailto:contact@americaserial.com	mailto:contact@americaserial.com	X
arjefm-59	61	2	mailto:contact@americaserial.com	mailto:contact@americaserial.com	PROPN
arjefm-59	62	1	american	american	PROPN
arjefm-59	62	2	research	research	PROPN
arjefm-59	62	3	journal	journal	PROPN
arjefm-59	62	4	of	of	ADP
arjefm-59	62	5	economics	economic	NOUN
arjefm-59	62	6	,	,	PUNCT
arjefm-59	62	7	finance	finance	NOUN
arjefm-59	62	8	and	and	CCONJ
arjefm-59	62	9	management	management	NOUN
arjefm-59	62	10	volume	volume	NOUN
arjefm-59	62	11	10	10	NUM
arjefm-59	62	12	issue	issue	NOUN
arjefm-59	62	13	1	1	NUM
arjefm-59	62	14	,	,	PUNCT
arjefm-59	62	15	january	january	PROPN
arjefm-59	62	16	-	-	PUNCT
arjefm-59	62	17	march	march	PROPN
arjefm-59	62	18	2022	2022	NUM
arjefm-59	62	19	issn	issn	NOUN
arjefm-59	62	20	:	:	PUNCT
arjefm-59	62	21	2836	2836	NUM
arjefm-59	62	22	-	-	SYM
arjefm-59	62	23	9416	9416	NUM
arjefm-59	62	24	impact	impact	NOUN
arjefm-59	62	25	factor	factor	NOUN
arjefm-59	62	26	:	:	PUNCT
arjefm-59	62	27	4.85	4.85	NUM
arjefm-59	62	28	journal	journal	NOUN
arjefm-59	62	29	homepage	homepage	NOUN
arjefm-59	62	30	:	:	PUNCT
arjefm-59	62	31	https://americaserial.com/journals/index.php/arjefm	https://americaserial.com/journals/index.php/arjefm	NOUN
arjefm-59	62	32	,	,	PUNCT
arjefm-59	62	33	email	email	NOUN
arjefm-59	62	34	:	:	PUNCT
arjefm-59	63	1	contact@americaserial.com	contact@americaserial.com	PROPN
arjefm-59	63	2	official	official	ADJ
arjefm-59	63	3	journal	journal	PROPN
arjefm-59	63	4	of	of	ADP
arjefm-59	63	5	america	america	PROPN
arjefm-59	63	6	serial	serial	PROPN
arjefm-59	63	7	publication	publication	NOUN
arjefm-59	63	8	american	american	PROPN
arjefm-59	63	9	research	research	PROPN
arjefm-59	63	10	journal	journal	PROPN
arjefm-59	63	11	of	of	ADP
arjefm-59	63	12	economics	economic	NOUN
arjefm-59	63	13	,	,	PUNCT
arjefm-59	63	14	finance	finance	NOUN
arjefm-59	63	15	and	and	CCONJ
arjefm-59	63	16	management	management	NOUN
arjefm-59	63	17	https://americaserial.com/journals/index.php/arjefm	https://americaserial.com/journals/index.php/arjefm	NOUN
arjefm-59	63	18	,	,	PUNCT
arjefm-59	63	19	email	email	NOUN
arjefm-59	63	20	:	:	PUNCT
arjefm-59	63	21	contact@americaserial.com	contact@americaserial.com	X
arjefm-59	64	1	4	4	NUM
arjefm-59	64	2	|	|	ADV
arjefm-59	64	3	p	p	X
arjefm-59	64	4	a	a	DET
arjefm-59	64	5	g	g	NOUN
arjefm-59	64	6	e	e	NOUN
arjefm-59	64	7	although	although	SCONJ
arjefm-59	64	8	,	,	PUNCT
arjefm-59	64	9	ang	ang	INTJ
arjefm-59	64	10	et	et	PROPN
arjefm-59	64	11	al	al	PROPN
arjefm-59	64	12	.	.	PROPN
arjefm-59	65	1	(	(	PUNCT
arjefm-59	65	2	2006	2006	NUM
arjefm-59	65	3	)	)	PUNCT
arjefm-59	65	4	assume	assume	VERB
arjefm-59	65	5	that	that	SCONJ
arjefm-59	65	6	idiosyncratic	idiosyncratic	ADJ
arjefm-59	65	7	volatility	volatility	NOUN
arjefm-59	65	8	follows	follow	VERB
arjefm-59	65	9	a	a	DET
arjefm-59	65	10	random	random	ADJ
arjefm-59	65	11	walk	walk	NOUN
arjefm-59	65	12	,	,	PUNCT
arjefm-59	65	13	fu	fu	PROPN
arjefm-59	65	14	(	(	PUNCT
arjefm-59	65	15	2009	2009	NUM
arjefm-59	65	16	)	)	PUNCT
arjefm-59	65	17	denies	deny	VERB
arjefm-59	65	18	the	the	DET
arjefm-59	65	19	assumption	assumption	NOUN
arjefm-59	65	20	of	of	ADP
arjefm-59	65	21	time	time	NOUN
arjefm-59	65	22	varying	vary	VERB
arjefm-59	65	23	property	property	NOUN
arjefm-59	65	24	of	of	ADP
arjefm-59	65	25	idiosyncratic	idiosyncratic	ADJ
arjefm-59	65	26	volatility	volatility	NOUN
arjefm-59	65	27	can	can	AUX
arjefm-59	65	28	be	be	AUX
arjefm-59	65	29	approximated	approximate	VERB
arjefm-59	65	30	by	by	ADP
arjefm-59	65	31	a	a	DET
arjefm-59	65	32	random	random	ADJ
arjefm-59	65	33	walk	walk	NOUN
arjefm-59	65	34	process	process	NOUN
arjefm-59	65	35	.	.	PUNCT
arjefm-59	66	1	supporting	support	VERB
arjefm-59	66	2	fu	fu	PROPN
arjefm-59	66	3	’s	’s	PART
arjefm-59	66	4	argument	argument	NOUN
arjefm-59	66	5	,	,	PUNCT
arjefm-59	66	6	based	base	VERB
arjefm-59	66	7	on	on	ADP
arjefm-59	66	8	a	a	DET
arjefm-59	66	9	cross	cross	NOUN
arjefm-59	66	10	country	country	NOUN
arjefm-59	66	11	analysis	analysis	NOUN
arjefm-59	66	12	with	with	ADP
arjefm-59	66	13	a	a	DET
arjefm-59	66	14	sample	sample	NOUN
arjefm-59	66	15	of	of	ADP
arjefm-59	66	16	36	36	NUM
arjefm-59	66	17	countries	country	NOUN
arjefm-59	66	18	,	,	PUNCT
arjefm-59	66	19	pukthuanthong	pukthuanthong	NOUN
arjefm-59	66	20	-	-	PUNCT
arjefm-59	66	21	le	le	NOUN
arjefm-59	66	22	and	and	CCONJ
arjefm-59	66	23	visaltanachoti	visaltanachoti	PROPN
arjefm-59	66	24	(	(	PUNCT
arjefm-59	66	25	2009	2009	NUM
arjefm-59	66	26	)	)	PUNCT
arjefm-59	66	27	state	state	NOUN
arjefm-59	66	28	that	that	SCONJ
arjefm-59	66	29	adoption	adoption	NOUN
arjefm-59	66	30	of	of	ADP
arjefm-59	66	31	one	one	NUM
arjefm-59	66	32	month	month	NOUN
arjefm-59	66	33	lagged	lag	VERB
arjefm-59	66	34	idiosyncratic	idiosyncratic	ADJ
arjefm-59	66	35	volatility	volatility	NOUN
arjefm-59	66	36	estimation	estimation	NOUN
arjefm-59	66	37	method	method	NOUN
arjefm-59	66	38	leads	lead	VERB
arjefm-59	66	39	to	to	ADP
arjefm-59	66	40	severe	severe	ADJ
arjefm-59	66	41	estimation	estimation	NOUN
arjefm-59	66	42	errors	error	NOUN
arjefm-59	66	43	.	.	PUNCT
arjefm-59	67	1	therefore	therefore	ADV
arjefm-59	67	2	,	,	PUNCT
arjefm-59	67	3	based	base	VERB
arjefm-59	67	4	on	on	ADP
arjefm-59	67	5	the	the	DET
arjefm-59	67	6	empirical	empirical	ADJ
arjefm-59	67	7	evidence	evidence	NOUN
arjefm-59	67	8	,	,	PUNCT
arjefm-59	67	9	fu	fu	NOUN
arjefm-59	67	10	(	(	PUNCT
arjefm-59	67	11	2009	2009	NUM
arjefm-59	67	12	)	)	PUNCT
arjefm-59	67	13	and	and	CCONJ
arjefm-59	67	14	pukthuanthong	pukthuanthong	NOUN
arjefm-59	67	15	-	-	PUNCT
arjefm-59	67	16	le	le	NOUN
arjefm-59	67	17	and	and	CCONJ
arjefm-59	67	18	visaltanachoti	visaltanachoti	PROPN
arjefm-59	67	19	(	(	PUNCT
arjefm-59	67	20	2009	2009	NUM
arjefm-59	67	21	)	)	PUNCT
arjefm-59	67	22	negate	negate	VERB
arjefm-59	67	23	the	the	DET
arjefm-59	67	24	use	use	NOUN
arjefm-59	67	25	lagged	lag	VERB
arjefm-59	67	26	idiosyncratic	idiosyncratic	ADJ
arjefm-59	67	27	volatility	volatility	NOUN
arjefm-59	67	28	of	of	ADP
arjefm-59	67	29	stocks	stock	NOUN
arjefm-59	67	30	to	to	PART
arjefm-59	67	31	derive	derive	VERB
arjefm-59	67	32	at	at	ADP
arjefm-59	67	33	the	the	DET
arjefm-59	67	34	inferences	inference	NOUN
arjefm-59	67	35	between	between	ADP
arjefm-59	67	36	average	average	ADJ
arjefm-59	67	37	stock	stock	NOUN
arjefm-59	67	38	returns	return	NOUN
arjefm-59	67	39	and	and	CCONJ
arjefm-59	67	40	idiosyncratic	idiosyncratic	ADJ
arjefm-59	67	41	volatility	volatility	NOUN
arjefm-59	67	42	.	.	PUNCT
arjefm-59	68	1	in	in	ADP
arjefm-59	68	2	spite	spite	NOUN
arjefm-59	68	3	of	of	ADP
arjefm-59	68	4	the	the	DET
arjefm-59	68	5	strengths	strength	NOUN
arjefm-59	68	6	and	and	CCONJ
arjefm-59	68	7	weaknesses	weakness	NOUN
arjefm-59	68	8	of	of	ADP
arjefm-59	68	9	each	each	DET
arjefm-59	68	10	estimation	estimation	NOUN
arjefm-59	68	11	method	method	NOUN
arjefm-59	68	12	,	,	PUNCT
arjefm-59	68	13	the	the	DET
arjefm-59	68	14	empirical	empirical	ADJ
arjefm-59	68	15	findings	finding	NOUN
arjefm-59	68	16	on	on	ADP
arjefm-59	68	17	idiosyncratic	idiosyncratic	ADJ
arjefm-59	68	18	volatility	volatility	NOUN
arjefm-59	68	19	have	have	AUX
arjefm-59	68	20	created	create	VERB
arjefm-59	68	21	a	a	DET
arjefm-59	68	22	substantive	substantive	ADJ
arjefm-59	68	23	puzzle	puzzle	NOUN
arjefm-59	68	24	in	in	ADP
arjefm-59	68	25	the	the	DET
arjefm-59	68	26	asset	asset	NOUN
arjefm-59	68	27	pricing	pricing	NOUN
arjefm-59	68	28	literature	literature	NOUN
arjefm-59	68	29	.	.	PUNCT
arjefm-59	69	1	however	however	ADV
arjefm-59	69	2	,	,	PUNCT
arjefm-59	69	3	as	as	ADP
arjefm-59	69	4	per	per	ADP
arjefm-59	69	5	bali	bali	NOUN
arjefm-59	69	6	and	and	CCONJ
arjefm-59	69	7	cakici	cakici	NOUN
arjefm-59	69	8	(	(	PUNCT
arjefm-59	69	9	2008	2008	NUM
arjefm-59	69	10	)	)	PUNCT
arjefm-59	69	11	,	,	PUNCT
arjefm-59	69	12	the	the	DET
arjefm-59	69	13	existence	existence	NOUN
arjefm-59	69	14	of	of	ADP
arjefm-59	69	15	methodological	methodological	ADJ
arjefm-59	69	16	differences	difference	NOUN
arjefm-59	69	17	among	among	ADP
arjefm-59	69	18	previous	previous	ADJ
arjefm-59	69	19	studies	study	NOUN
arjefm-59	69	20	leads	lead	VERB
arjefm-59	69	21	to	to	ADP
arjefm-59	69	22	conflicting	conflicting	ADJ
arjefm-59	69	23	arguments	argument	NOUN
arjefm-59	69	24	.	.	PUNCT
arjefm-59	70	1	therefore	therefore	ADV
arjefm-59	70	2	,	,	PUNCT
arjefm-59	70	3	fu	fu	PROPN
arjefm-59	70	4	(	(	PUNCT
arjefm-59	70	5	2009	2009	NUM
arjefm-59	70	6	)	)	PUNCT
arjefm-59	70	7	emphasises	emphasise	VERB
arjefm-59	70	8	that	that	SCONJ
arjefm-59	70	9	idiosyncratic	idiosyncratic	ADJ
arjefm-59	70	10	volatility	volatility	NOUN
arjefm-59	70	11	warrants	warrant	NOUN
arjefm-59	70	12	not	not	PART
arjefm-59	70	13	only	only	ADV
arjefm-59	70	14	a	a	DET
arjefm-59	70	15	special	special	ADJ
arjefm-59	70	16	attention	attention	NOUN
arjefm-59	70	17	but	but	CCONJ
arjefm-59	70	18	also	also	ADV
arjefm-59	70	19	a	a	DET
arjefm-59	70	20	quality	quality	NOUN
arjefm-59	70	21	estimation	estimation	NOUN
arjefm-59	70	22	process	process	NOUN
arjefm-59	70	23	in	in	ADP
arjefm-59	70	24	deriving	derive	VERB
arjefm-59	70	25	at	at	ADP
arjefm-59	70	26	the	the	DET
arjefm-59	70	27	inferences	inference	NOUN
arjefm-59	70	28	between	between	ADP
arjefm-59	70	29	average	average	ADJ
arjefm-59	70	30	returns	return	NOUN
arjefm-59	70	31	and	and	CCONJ
arjefm-59	70	32	idiosyncratic	idiosyncratic	ADJ
arjefm-59	70	33	volatility	volatility	NOUN
arjefm-59	70	34	.	.	PUNCT
arjefm-59	71	1	3	3	X
arjefm-59	71	2	.	.	X
arjefm-59	71	3	data	datum	NOUN
arjefm-59	71	4	and	and	CCONJ
arjefm-59	71	5	methodology	methodology	NOUN
arjefm-59	71	6	3.1	3.1	NUM
arjefm-59	71	7	data	datum	NOUN
arjefm-59	71	8	the	the	DET
arjefm-59	71	9	data	datum	NOUN
arjefm-59	71	10	includes	include	VERB
arjefm-59	71	11	monthly	monthly	ADJ
arjefm-59	71	12	stock	stock	NOUN
arjefm-59	71	13	returns	return	NOUN
arjefm-59	71	14	and	and	CCONJ
arjefm-59	71	15	other	other	ADJ
arjefm-59	71	16	accounting	accounting	NOUN
arjefm-59	71	17	details	detail	NOUN
arjefm-59	71	18	pertinent	pertinent	ADJ
arjefm-59	71	19	to	to	ADP
arjefm-59	71	20	214	214	NUM
arjefm-59	71	21	non	non	ADJ
arjefm-59	71	22	-	-	ADJ
arjefm-59	71	23	financial	financial	ADJ
arjefm-59	71	24	firms	firm	NOUN
arjefm-59	71	25	listed	list	VERB
arjefm-59	71	26	on	on	ADP
arjefm-59	71	27	the	the	DET
arjefm-59	71	28	colombo	colombo	NOUN
arjefm-59	71	29	stock	stock	NOUN
arjefm-59	71	30	exchange	exchange	PROPN
arjefm-59	71	31	(	(	PUNCT
arjefm-59	71	32	cse	cse	NOUN
arjefm-59	71	33	)	)	PUNCT
arjefm-59	71	34	over	over	ADP
arjefm-59	71	35	a	a	DET
arjefm-59	71	36	period	period	NOUN
arjefm-59	71	37	of	of	ADP
arjefm-59	71	38	163	163	NUM
arjefm-59	71	39	months	month	NOUN
arjefm-59	71	40	from	from	ADP
arjefm-59	71	41	september	september	PROPN
arjefm-59	71	42	2004	2004	NUM
arjefm-59	71	43	to	to	ADP
arjefm-59	71	44	march	march	PROPN
arjefm-59	71	45	2018	2018	NUM
arjefm-59	71	46	.	.	PUNCT
arjefm-59	72	1	all	all	DET
arjefm-59	72	2	required	required	ADJ
arjefm-59	72	3	data	datum	NOUN
arjefm-59	72	4	is	be	AUX
arjefm-59	72	5	obtained	obtain	VERB
arjefm-59	72	6	from	from	ADP
arjefm-59	72	7	cse	cse	PROPN
arjefm-59	72	8	data	datum	NOUN
arjefm-59	72	9	library	library	NOUN
arjefm-59	72	10	,	,	PUNCT
arjefm-59	72	11	annual	annual	ADJ
arjefm-59	72	12	reports	report	NOUN
arjefm-59	72	13	of	of	ADP
arjefm-59	72	14	listed	list	VERB
arjefm-59	72	15	companies	company	NOUN
arjefm-59	72	16	and	and	CCONJ
arjefm-59	72	17	annual	annual	ADJ
arjefm-59	72	18	reports	report	NOUN
arjefm-59	72	19	of	of	ADP
arjefm-59	72	20	central	central	ADJ
arjefm-59	72	21	bank	bank	PROPN
arjefm-59	72	22	of	of	ADP
arjefm-59	72	23	sri	sri	PROPN
arjefm-59	72	24	lanka	lanka	PROPN
arjefm-59	72	25	.	.	PUNCT
arjefm-59	73	1	further	far	ADV
arjefm-59	73	2	,	,	PUNCT
arjefm-59	73	3	following	follow	VERB
arjefm-59	73	4	sriyalatha	sriyalatha	PROPN
arjefm-59	73	5	(	(	PUNCT
arjefm-59	73	6	2008	2008	NUM
arjefm-59	73	7	)	)	PUNCT
arjefm-59	73	8	,	,	PUNCT
arjefm-59	73	9	monthly	monthly	ADJ
arjefm-59	73	10	stock	stock	NOUN
arjefm-59	73	11	returns	return	NOUN
arjefm-59	73	12	are	be	AUX
arjefm-59	73	13	adjusted	adjust	VERB
arjefm-59	73	14	for	for	ADP
arjefm-59	73	15	bonus	bonus	NOUN
arjefm-59	73	16	issues	issue	NOUN
arjefm-59	73	17	and	and	CCONJ
arjefm-59	73	18	rights	right	NOUN
arjefm-59	73	19	issues	issue	NOUN
arjefm-59	73	20	.	.	PUNCT
arjefm-59	74	1	as	as	ADP
arjefm-59	74	2	in	in	ADP
arjefm-59	74	3	fama	fama	NOUN
arjefm-59	74	4	and	and	CCONJ
arjefm-59	74	5	french	french	ADJ
arjefm-59	74	6	(	(	PUNCT
arjefm-59	74	7	1992	1992	NUM
arjefm-59	74	8	)	)	PUNCT
arjefm-59	74	9	,	,	PUNCT
arjefm-59	74	10	samarakoon	samarakoon	NOUN
arjefm-59	74	11	(	(	PUNCT
arjefm-59	74	12	1997	1997	NUM
arjefm-59	74	13	)	)	PUNCT
arjefm-59	74	14	,	,	PUNCT
arjefm-59	74	15	and	and	CCONJ
arjefm-59	74	16	abeysekera	abeysekera	NOUN
arjefm-59	74	17	and	and	CCONJ
arjefm-59	74	18	nimal	nimal	PROPN
arjefm-59	74	19	(	(	PUNCT
arjefm-59	74	20	2016	2016	NUM
arjefm-59	74	21	)	)	PUNCT
arjefm-59	74	22	,	,	PUNCT
arjefm-59	74	23	this	this	DET
arjefm-59	74	24	study	study	NOUN
arjefm-59	74	25	excludes	exclude	VERB
arjefm-59	74	26	the	the	DET
arjefm-59	74	27	firms	firm	NOUN
arjefm-59	74	28	with	with	ADP
arjefm-59	74	29	negative	negative	ADJ
arjefm-59	74	30	book	book	NOUN
arjefm-59	74	31	-	-	PUNCT
arjefm-59	74	32	to	to	ADP
arjefm-59	74	33	-	-	PUNCT
arjefm-59	74	34	market	market	NOUN
arjefm-59	74	35	ratio	ratio	NOUN
arjefm-59	74	36	and	and	CCONJ
arjefm-59	74	37	firms	firm	NOUN
arjefm-59	74	38	listed	list	VERB
arjefm-59	74	39	under	under	ADP
arjefm-59	74	40	the	the	DET
arjefm-59	74	41	banks	bank	NOUN
arjefm-59	74	42	,	,	PUNCT
arjefm-59	74	43	finance	finance	NOUN
arjefm-59	74	44	and	and	CCONJ
arjefm-59	74	45	insurance	insurance	NOUN
arjefm-59	74	46	sector	sector	NOUN
arjefm-59	74	47	since	since	SCONJ
arjefm-59	74	48	such	such	ADJ
arjefm-59	74	49	firms	firm	NOUN
arjefm-59	74	50	are	be	AUX
arjefm-59	74	51	heavily	heavily	ADV
arjefm-59	74	52	geared	gear	VERB
arjefm-59	74	53	and	and	CCONJ
arjefm-59	74	54	higher	high	ADJ
arjefm-59	74	55	level	level	NOUN
arjefm-59	74	56	of	of	ADP
arjefm-59	74	57	gearing	gearing	NOUN
arjefm-59	74	58	indicates	indicate	VERB
arjefm-59	74	59	distress	distress	NOUN
arjefm-59	74	60	risk	risk	NOUN
arjefm-59	74	61	for	for	ADP
arjefm-59	74	62	non	non	ADJ
arjefm-59	74	63	-	-	ADJ
arjefm-59	74	64	financial	financial	ADJ
arjefm-59	74	65	firms	firm	NOUN
arjefm-59	74	66	(	(	PUNCT
arjefm-59	74	67	fama	fama	PROPN
arjefm-59	74	68	&	&	CCONJ
arjefm-59	74	69	french	french	PROPN
arjefm-59	74	70	,	,	PUNCT
arjefm-59	74	71	1992	1992	NUM
arjefm-59	74	72	)	)	PUNCT
arjefm-59	74	73	.	.	PUNCT
arjefm-59	75	1	the	the	DET
arjefm-59	75	2	data	datum	NOUN
arjefm-59	75	3	includes	include	VERB
arjefm-59	75	4	with	with	ADP
arjefm-59	75	5	respect	respect	NOUN
arjefm-59	75	6	to	to	ADP
arjefm-59	75	7	the	the	DET
arjefm-59	75	8	following	following	ADJ
arjefm-59	75	9	variables	variable	NOUN
arjefm-59	75	10	;	;	PUNCT
arjefm-59	75	11	all	all	PRON
arjefm-59	75	12	share	share	VERB
arjefm-59	75	13	total	total	ADJ
arjefm-59	75	14	return	return	NOUN
arjefm-59	75	15	index	index	NOUN
arjefm-59	75	16	(	(	PUNCT
arjefm-59	75	17	astri	astri	VERB
arjefm-59	75	18	)	)	PUNCT
arjefm-59	75	19	is	be	AUX
arjefm-59	75	20	used	use	VERB
arjefm-59	75	21	as	as	ADP
arjefm-59	75	22	the	the	DET
arjefm-59	75	23	proxy	proxy	NOUN
arjefm-59	75	24	for	for	ADP
arjefm-59	75	25	market	market	NOUN
arjefm-59	75	26	return	return	NOUN
arjefm-59	75	27	(	(	PUNCT
arjefm-59	75	28	rm	rm	NOUN
arjefm-59	75	29	)	)	PUNCT
arjefm-59	75	30	while	while	SCONJ
arjefm-59	75	31	three	three	NUM
arjefm-59	75	32	-	-	PUNCT
arjefm-59	75	33	month	month	NOUN
arjefm-59	75	34	government	government	NOUN
arjefm-59	75	35	treasury	treasury	NOUN
arjefm-59	75	36	-	-	PUNCT
arjefm-59	75	37	bill	bill	NOUN
arjefm-59	75	38	rate	rate	NOUN
arjefm-59	75	39	is	be	AUX
arjefm-59	75	40	used	use	VERB
arjefm-59	75	41	as	as	ADP
arjefm-59	75	42	a	a	DET
arjefm-59	75	43	proxy	proxy	NOUN
arjefm-59	75	44	for	for	ADP
arjefm-59	75	45	risk	risk	NOUN
arjefm-59	75	46	free	free	ADJ
arjefm-59	75	47	rate	rate	NOUN
arjefm-59	75	48	of	of	ADP
arjefm-59	75	49	return	return	NOUN
arjefm-59	75	50	(	(	PUNCT
arjefm-59	75	51	rf	rf	NOUN
arjefm-59	75	52	)	)	PUNCT
arjefm-59	75	53	.	.	PUNCT
arjefm-59	76	1	the	the	DET
arjefm-59	76	2	market	market	NOUN
arjefm-59	76	3	capitalization	capitalization	NOUN
arjefm-59	76	4	is	be	AUX
arjefm-59	76	5	used	use	VERB
arjefm-59	76	6	as	as	ADP
arjefm-59	76	7	a	a	DET
arjefm-59	76	8	proxy	proxy	NOUN
arjefm-59	76	9	for	for	ADP
arjefm-59	76	10	size	size	NOUN
arjefm-59	76	11	(	(	PUNCT
arjefm-59	76	12	size	size	NOUN
arjefm-59	76	13	)	)	PUNCT
arjefm-59	76	14	while	while	SCONJ
arjefm-59	76	15	the	the	DET
arjefm-59	76	16	book	book	NOUN
arjefm-59	76	17	-	-	PUNCT
arjefm-59	76	18	to	to	ADP
arjefm-59	76	19	-	-	PUNCT
arjefm-59	76	20	marketequity	marketequity	NOUN
arjefm-59	76	21	(	(	PUNCT
arjefm-59	76	22	b	b	NOUN
arjefm-59	76	23	/	/	SYM
arjefm-59	76	24	m	m	NOUN
arjefm-59	76	25	)	)	PUNCT
arjefm-59	76	26	ratio	ratio	NOUN
arjefm-59	76	27	is	be	AUX
arjefm-59	76	28	used	use	VERB
arjefm-59	76	29	as	as	ADP
arjefm-59	76	30	the	the	DET
arjefm-59	76	31	proxy	proxy	NOUN
arjefm-59	76	32	for	for	ADP
arjefm-59	76	33	value	value	NOUN
arjefm-59	76	34	.	.	PUNCT
arjefm-59	77	1	moreover	moreover	ADV
arjefm-59	77	2	,	,	PUNCT
arjefm-59	77	3	net	net	ADJ
arjefm-59	77	4	profit	profit	NOUN
arjefm-59	77	5	as	as	ADP
arjefm-59	77	6	a	a	DET
arjefm-59	77	7	fraction	fraction	NOUN
arjefm-59	77	8	of	of	ADP
arjefm-59	77	9	book	book	NOUN
arjefm-59	77	10	equity	equity	NOUN
arjefm-59	77	11	is	be	AUX
arjefm-59	77	12	used	use	VERB
arjefm-59	77	13	as	as	ADP
arjefm-59	77	14	a	a	DET
arjefm-59	77	15	proxy	proxy	NOUN
arjefm-59	77	16	for	for	ADP
arjefm-59	77	17	profitability	profitability	NOUN
arjefm-59	77	18	(	(	PUNCT
arjefm-59	77	19	prof	prof	NOUN
arjefm-59	77	20	)	)	PUNCT
arjefm-59	77	21	while	while	SCONJ
arjefm-59	77	22	the	the	DET
arjefm-59	77	23	annual	annual	ADJ
arjefm-59	77	24	growth	growth	NOUN
arjefm-59	77	25	rate	rate	NOUN
arjefm-59	77	26	of	of	ADP
arjefm-59	77	27	the	the	DET
arjefm-59	77	28	assets	asset	NOUN
arjefm-59	77	29	is	be	AUX
arjefm-59	77	30	used	use	VERB
arjefm-59	77	31	as	as	ADP
arjefm-59	77	32	the	the	DET
arjefm-59	77	33	proxy	proxy	NOUN
arjefm-59	77	34	for	for	ADP
arjefm-59	77	35	investment	investment	NOUN
arjefm-59	77	36	(	(	PUNCT
arjefm-59	77	37	inv	inv	ADJ
arjefm-59	77	38	)	)	PUNCT
arjefm-59	77	39	.	.	PUNCT
arjefm-59	78	1	3.2factor	3.2factor	NUM
arjefm-59	78	2	construction	construction	NOUN
arjefm-59	78	3	at	at	ADP
arjefm-59	78	4	the	the	DET
arjefm-59	78	5	end	end	NOUN
arjefm-59	78	6	of	of	ADP
arjefm-59	78	7	september	september	PROPN
arjefm-59	78	8	each	each	DET
arjefm-59	78	9	year	year	NOUN
arjefm-59	78	10	t	t	PROPN
arjefm-59	78	11	,	,	PUNCT
arjefm-59	78	12	the	the	DET
arjefm-59	78	13	factor	factor	NOUN
arjefm-59	78	14	return	return	VERB
arjefm-59	78	15	portfolios	portfolio	NOUN
arjefm-59	78	16	are	be	AUX
arjefm-59	78	17	constructed	construct	VERB
arjefm-59	78	18	and	and	CCONJ
arjefm-59	78	19	reformed	reform	VERB
arjefm-59	78	20	at	at	ADP
arjefm-59	78	21	the	the	DET
arjefm-59	78	22	end	end	NOUN
arjefm-59	78	23	of	of	ADP
arjefm-59	78	24	september	september	PROPN
arjefm-59	78	25	year	year	NOUN
arjefm-59	78	26	t+1	t+1	PROPN
arjefm-59	78	27	(	(	PUNCT
arjefm-59	78	28	samarakoon	samarakoon	NOUN
arjefm-59	78	29	,	,	PUNCT
arjefm-59	78	30	1997;abeysekera&nimal	1997;abeysekera&nimal	NUM
arjefm-59	78	31	,	,	PUNCT
arjefm-59	78	32	2017	2017	NUM
arjefm-59	78	33	)	)	PUNCT
arjefm-59	78	34	.	.	PUNCT
arjefm-59	79	1	according	accord	VERB
arjefm-59	79	2	to	to	ADP
arjefm-59	79	3	abeysekera	abeysekera	NOUN
arjefm-59	79	4	and	and	CCONJ
arjefm-59	79	5	nimal	nimal	PROPN
arjefm-59	79	6	(	(	PUNCT
arjefm-59	79	7	2016	2016	NUM
arjefm-59	79	8	)	)	PUNCT
arjefm-59	79	9	,	,	PUNCT
arjefm-59	79	10	this	this	PRON
arjefm-59	79	11	enables	enable	VERB
arjefm-59	79	12	to	to	PART
arjefm-59	79	13	overcome	overcome	VERB
arjefm-59	79	14	the	the	DET
arjefm-59	79	15	look	look	VERB
arjefm-59	79	16	-	-	PUNCT
arjefm-59	79	17	ahead	ahead	NOUN
arjefm-59	79	18	biasness	biasness	PROPN
arjefm-59	79	19	problem	problem	NOUN
arjefm-59	79	20	.	.	PUNCT
arjefm-59	80	1	in	in	ADP
arjefm-59	80	2	the	the	DET
arjefm-59	80	3	current	current	ADJ
arjefm-59	80	4	study	study	NOUN
arjefm-59	80	5	,	,	PUNCT
arjefm-59	80	6	the	the	DET
arjefm-59	80	7	factor	factor	NOUN
arjefm-59	80	8	return	return	VERB
arjefm-59	80	9	portfolios	portfolio	NOUN
arjefm-59	80	10	are	be	AUX
arjefm-59	80	11	constructed	construct	VERB
arjefm-59	80	12	based	base	VERB
arjefm-59	80	13	on	on	ADP
arjefm-59	80	14	independent	independent	ADJ
arjefm-59	80	15	2	2	NUM
arjefm-59	80	16	x	x	SYM
arjefm-59	80	17	3	3	NUM
arjefm-59	80	18	sorts	sort	NOUN
arjefm-59	80	19	on	on	ADP
arjefm-59	80	20	size	size	NOUN
arjefm-59	80	21	-	-	PUNCT
arjefm-59	80	22	b	b	NOUN
arjefm-59	80	23	/	/	SYM
arjefm-59	80	24	m	m	PROPN
arjefm-59	80	25	,	,	PUNCT
arjefm-59	80	26	size	size	NOUN
arjefm-59	80	27	-	-	PUNCT
arjefm-59	80	28	prof	prof	NOUN
arjefm-59	80	29	,	,	PUNCT
arjefm-59	80	30	and	and	CCONJ
arjefm-59	80	31	size	size	NOUN
arjefm-59	80	32	-	-	PUNCT
arjefm-59	80	33	inv	inv	NOUN
arjefm-59	80	34	.	.	PUNCT
arjefm-59	81	1	the	the	DET
arjefm-59	81	2	stocks	stock	NOUN
arjefm-59	81	3	are	be	AUX
arjefm-59	81	4	sorted	sort	VERB
arjefm-59	81	5	as	as	ADP
arjefm-59	81	6	big	big	ADJ
arjefm-59	81	7	and	and	CCONJ
arjefm-59	81	8	small	small	ADJ
arjefm-59	81	9	stocks	stock	NOUN
arjefm-59	81	10	based	base	VERB
arjefm-59	81	11	on	on	ADP
arjefm-59	81	12	the	the	DET
arjefm-59	81	13	market	market	NOUN
arjefm-59	81	14	caiptalisationwhere	caiptalisationwhere	VERB
arjefm-59	81	15	the	the	DET
arjefm-59	81	16	stocks	stock	NOUN
arjefm-59	81	17	in	in	ADP
arjefm-59	81	18	the	the	DET
arjefm-59	81	19	top	top	ADJ
arjefm-59	81	20	50	50	NUM
arjefm-59	81	21	percent	percent	NOUN
arjefm-59	81	22	of	of	ADP
arjefm-59	81	23	the	the	DET
arjefm-59	81	24	market	market	NOUN
arjefm-59	81	25	capitalization	capitalization	NOUN
arjefm-59	81	26	is	be	AUX
arjefm-59	81	27	categorized	categorize	VERB
arjefm-59	81	28	as	as	ADP
arjefm-59	81	29	big	big	ADJ
arjefm-59	81	30	(	(	PUNCT
arjefm-59	81	31	b	b	NOUN
arjefm-59	81	32	)	)	PUNCT
arjefm-59	81	33	stocks	stock	NOUN
arjefm-59	81	34	while	while	SCONJ
arjefm-59	81	35	bottom	bottom	ADJ
arjefm-59	81	36	50	50	NUM
arjefm-59	81	37	percent	percent	NOUN
arjefm-59	81	38	is	be	AUX
arjefm-59	81	39	categorized	categorize	VERB
arjefm-59	81	40	as	as	ADP
arjefm-59	81	41	the	the	DET
arjefm-59	81	42	small	small	ADJ
arjefm-59	81	43	(	(	PUNCT
arjefm-59	81	44	s	s	NOUN
arjefm-59	81	45	)	)	PUNCT
arjefm-59	81	46	stocks	stock	NOUN
arjefm-59	81	47	(	(	PUNCT
arjefm-59	81	48	fama	fama	PROPN
arjefm-59	81	49	&	&	CCONJ
arjefm-59	81	50	french	french	PROPN
arjefm-59	81	51	,	,	PUNCT
arjefm-59	81	52	1993	1993	NUM
arjefm-59	81	53	)	)	PUNCT
arjefm-59	81	54	.	.	PUNCT
arjefm-59	82	1	mailto:contact@americaserial.com	mailto:contact@americaserial.com	X
arjefm-59	83	1	mailto:contact@americaserial.com	mailto:contact@americaserial.com	PROPN
arjefm-59	84	1	american	american	PROPN
arjefm-59	84	2	research	research	PROPN
arjefm-59	84	3	journal	journal	PROPN
arjefm-59	84	4	of	of	ADP
arjefm-59	84	5	economics	economic	NOUN
arjefm-59	84	6	,	,	PUNCT
arjefm-59	84	7	finance	finance	NOUN
arjefm-59	84	8	and	and	CCONJ
arjefm-59	84	9	management	management	NOUN
arjefm-59	84	10	volume	volume	NOUN
arjefm-59	84	11	10	10	NUM
arjefm-59	84	12	issue	issue	NOUN
arjefm-59	84	13	1	1	NUM
arjefm-59	84	14	,	,	PUNCT
arjefm-59	84	15	january	january	PROPN
arjefm-59	84	16	-	-	PUNCT
arjefm-59	84	17	march	march	PROPN
arjefm-59	84	18	2022	2022	NUM
arjefm-59	84	19	issn	issn	NOUN
arjefm-59	84	20	:	:	PUNCT
arjefm-59	84	21	2836	2836	NUM
arjefm-59	84	22	-	-	SYM
arjefm-59	84	23	9416	9416	NUM
arjefm-59	84	24	impact	impact	NOUN
arjefm-59	84	25	factor	factor	NOUN
arjefm-59	84	26	:	:	PUNCT
arjefm-59	84	27	4.85	4.85	NUM
arjefm-59	84	28	journal	journal	NOUN
arjefm-59	84	29	homepage	homepage	NOUN
arjefm-59	84	30	:	:	PUNCT
arjefm-59	84	31	https://americaserial.com/journals/index.php/arjefm	https://americaserial.com/journals/index.php/arjefm	NOUN
arjefm-59	84	32	,	,	PUNCT
arjefm-59	84	33	email	email	NOUN
arjefm-59	84	34	:	:	PUNCT
arjefm-59	85	1	contact@americaserial.com	contact@americaserial.com	PROPN
arjefm-59	85	2	official	official	ADJ
arjefm-59	85	3	journal	journal	PROPN
arjefm-59	85	4	of	of	ADP
arjefm-59	85	5	america	america	PROPN
arjefm-59	85	6	serial	serial	PROPN
arjefm-59	85	7	publication	publication	NOUN
arjefm-59	85	8	american	american	PROPN
arjefm-59	85	9	research	research	PROPN
arjefm-59	85	10	journal	journal	PROPN
arjefm-59	85	11	of	of	ADP
arjefm-59	85	12	economics	economic	NOUN
arjefm-59	85	13	,	,	PUNCT
arjefm-59	85	14	finance	finance	NOUN
arjefm-59	85	15	and	and	CCONJ
arjefm-59	85	16	management	management	NOUN
arjefm-59	85	17	https://americaserial.com/journals/index.php/arjefm	https://americaserial.com/journals/index.php/arjefm	NOUN
arjefm-59	85	18	,	,	PUNCT
arjefm-59	85	19	email	email	NOUN
arjefm-59	85	20	:	:	PUNCT
arjefm-59	85	21	contact@americaserial.com	contact@americaserial.com	X
arjefm-59	86	1	5	5	NUM
arjefm-59	87	1	|	|	ADV
arjefm-59	87	2	p	p	X
arjefm-59	87	3	a	a	DET
arjefm-59	87	4	g	g	NOUN
arjefm-59	87	5	e	e	NOUN
arjefm-59	87	6	moreover	moreover	ADV
arjefm-59	87	7	,	,	PUNCT
arjefm-59	87	8	based	base	VERB
arjefm-59	87	9	on	on	ADP
arjefm-59	87	10	b	b	PROPN
arjefm-59	87	11	/	/	SYM
arjefm-59	87	12	m	m	PROPN
arjefm-59	87	13	,	,	PUNCT
arjefm-59	87	14	the	the	DET
arjefm-59	87	15	stocks	stock	NOUN
arjefm-59	87	16	are	be	AUX
arjefm-59	87	17	categorised	categorise	VERB
arjefm-59	87	18	as	as	ADP
arjefm-59	87	19	growth	growth	NOUN
arjefm-59	87	20	(	(	PUNCT
arjefm-59	87	21	g	g	NOUN
arjefm-59	87	22	)	)	PUNCT
arjefm-59	87	23	,	,	PUNCT
arjefm-59	87	24	neutral	neutral	ADJ
arjefm-59	87	25	(	(	PUNCT
arjefm-59	87	26	n	n	CCONJ
arjefm-59	87	27	)	)	PUNCT
arjefm-59	87	28	and	and	CCONJ
arjefm-59	87	29	value	value	NOUN
arjefm-59	87	30	(	(	PUNCT
arjefm-59	87	31	v	v	NOUN
arjefm-59	87	32	)	)	PUNCT
arjefm-59	87	33	stocks	stock	NOUN
arjefm-59	87	34	(	(	PUNCT
arjefm-59	87	35	bottom	bottom	ADJ
arjefm-59	87	36	30	30	NUM
arjefm-59	87	37	percent	percent	NOUN
arjefm-59	87	38	,	,	PUNCT
arjefm-59	87	39	middle	middle	ADJ
arjefm-59	87	40	40	40	NUM
arjefm-59	87	41	percent	percent	NOUN
arjefm-59	87	42	,	,	PUNCT
arjefm-59	87	43	top	top	ADJ
arjefm-59	87	44	30	30	NUM
arjefm-59	87	45	percent	percent	NOUN
arjefm-59	87	46	)	)	PUNCT
arjefm-59	87	47	and	and	CCONJ
arjefm-59	87	48	the	the	DET
arjefm-59	87	49	intersection	intersection	NOUN
arjefm-59	87	50	of	of	ADP
arjefm-59	87	51	independent	independent	ADJ
arjefm-59	87	52	2	2	NUM
arjefm-59	87	53	x	x	SYM
arjefm-59	87	54	3	3	NUM
arjefm-59	87	55	sorts	sort	NOUN
arjefm-59	87	56	produce	produce	VERB
arjefm-59	87	57	six	six	NUM
arjefm-59	87	58	portfolios	portfolio	NOUN
arjefm-59	87	59	:	:	PUNCT
arjefm-59	87	60	sg	sg	PROPN
arjefm-59	87	61	,	,	PUNCT
arjefm-59	87	62	sn	sn	PROPN
arjefm-59	87	63	,	,	PUNCT
arjefm-59	87	64	sv	sv	PROPN
arjefm-59	87	65	,	,	PUNCT
arjefm-59	87	66	bg	bg	PROPN
arjefm-59	87	67	,	,	PUNCT
arjefm-59	87	68	bn	bn	NOUN
arjefm-59	87	69	,	,	PUNCT
arjefm-59	87	70	bv(fama	bv(fama	PROPN
arjefm-59	87	71	&	&	CCONJ
arjefm-59	87	72	french	french	NOUN
arjefm-59	87	73	,	,	PUNCT
arjefm-59	87	74	1993	1993	NUM
arjefm-59	87	75	)	)	PUNCT
arjefm-59	87	76	.	.	PUNCT
arjefm-59	88	1	similarly	similarly	ADV
arjefm-59	88	2	,	,	PUNCT
arjefm-59	88	3	the	the	DET
arjefm-59	88	4	stocks	stock	NOUN
arjefm-59	88	5	are	be	AUX
arjefm-59	88	6	categorised	categorise	VERB
arjefm-59	88	7	as	as	ADP
arjefm-59	88	8	weak	weak	ADJ
arjefm-59	88	9	(	(	PUNCT
arjefm-59	88	10	w	w	NOUN
arjefm-59	88	11	)	)	PUNCT
arjefm-59	88	12	,	,	PUNCT
arjefm-59	88	13	neutral	neutral	ADJ
arjefm-59	88	14	(	(	PUNCT
arjefm-59	88	15	n	n	CCONJ
arjefm-59	88	16	)	)	PUNCT
arjefm-59	88	17	,	,	PUNCT
arjefm-59	88	18	robust	robust	ADJ
arjefm-59	88	19	(	(	PUNCT
arjefm-59	88	20	r	r	NOUN
arjefm-59	88	21	)	)	PUNCT
arjefm-59	88	22	based	base	VERB
arjefm-59	88	23	on	on	ADP
arjefm-59	88	24	prof	prof	NOUN
arjefm-59	88	25	and	and	CCONJ
arjefm-59	88	26	as	as	ADP
arjefm-59	88	27	aggressive	aggressive	ADJ
arjefm-59	88	28	(	(	PUNCT
arjefm-59	88	29	a	a	NOUN
arjefm-59	88	30	)	)	PUNCT
arjefm-59	88	31	,	,	PUNCT
arjefm-59	88	32	neutral	neutral	ADJ
arjefm-59	88	33	(	(	PUNCT
arjefm-59	88	34	n	n	CCONJ
arjefm-59	88	35	)	)	PUNCT
arjefm-59	88	36	,	,	PUNCT
arjefm-59	88	37	conservative	conservative	ADJ
arjefm-59	88	38	(	(	PUNCT
arjefm-59	88	39	c	c	NOUN
arjefm-59	88	40	)	)	PUNCT
arjefm-59	88	41	based	base	VERB
arjefm-59	88	42	on	on	ADP
arjefm-59	88	43	inv	inv	NOUN
arjefm-59	88	44	which	which	PRON
arjefm-59	88	45	leads	lead	VERB
arjefm-59	88	46	to	to	PART
arjefm-59	88	47	generate	generate	VERB
arjefm-59	88	48	2	2	NUM
arjefm-59	88	49	x	x	SYM
arjefm-59	88	50	3	3	NUM
arjefm-59	88	51	sorts	sort	NOUN
arjefm-59	88	52	of	of	ADP
arjefm-59	88	53	size	size	NOUN
arjefm-59	88	54	-	-	PUNCT
arjefm-59	88	55	prof	prof	NOUN
arjefm-59	88	56	(	(	PUNCT
arjefm-59	88	57	sw	sw	PROPN
arjefm-59	88	58	,	,	PUNCT
arjefm-59	88	59	sn	sn	PROPN
arjefm-59	88	60	,	,	PUNCT
arjefm-59	88	61	sr	sr	PROPN
arjefm-59	88	62	,	,	PUNCT
arjefm-59	88	63	bw	bw	NOUN
arjefm-59	88	64	,	,	PUNCT
arjefm-59	88	65	bn	bn	NOUN
arjefm-59	88	66	,	,	PUNCT
arjefm-59	88	67	br	br	NOUN
arjefm-59	88	68	)	)	PUNCT
arjefm-59	88	69	and	and	CCONJ
arjefm-59	88	70	size	size	NOUN
arjefm-59	88	71	-	-	PUNCT
arjefm-59	88	72	inv	inv	VERB
arjefm-59	88	73	(	(	PUNCT
arjefm-59	88	74	sa	sa	PROPN
arjefm-59	88	75	,	,	PUNCT
arjefm-59	88	76	sn	sn	PROPN
arjefm-59	88	77	.	.	PUNCT
arjefm-59	89	1	sc	sc	PROPN
arjefm-59	89	2	,	,	PUNCT
arjefm-59	89	3	ba	ba	PROPN
arjefm-59	89	4	,	,	PUNCT
arjefm-59	89	5	bn	bn	PROPN
arjefm-59	89	6	,	,	PUNCT
arjefm-59	89	7	bc	bc	PROPN
arjefm-59	89	8	)	)	PUNCT
arjefm-59	89	9	(	(	PUNCT
arjefm-59	89	10	fama	fama	PROPN
arjefm-59	89	11	&	&	CCONJ
arjefm-59	89	12	french	french	ADJ
arjefm-59	89	13	2015	2015	NUM
arjefm-59	89	14	)	)	PUNCT
arjefm-59	89	15	.	.	PUNCT
arjefm-59	90	1	in	in	ADP
arjefm-59	90	2	addition	addition	NOUN
arjefm-59	90	3	to	to	ADP
arjefm-59	90	4	conventional	conventional	ADJ
arjefm-59	90	5	size	size	NOUN
arjefm-59	90	6	factor	factor	NOUN
arjefm-59	90	7	based	base	VERB
arjefm-59	90	8	on	on	ADP
arjefm-59	90	9	2	2	NUM
arjefm-59	90	10	x	x	SYM
arjefm-59	90	11	3	3	NUM
arjefm-59	90	12	sort	sort	NOUN
arjefm-59	90	13	of	of	ADP
arjefm-59	90	14	size	size	NOUN
arjefm-59	90	15	-	-	PUNCT
arjefm-59	90	16	b	b	NOUN
arjefm-59	90	17	/	/	SYM
arjefm-59	90	18	m(smbb	m(smbb	NOUN
arjefm-59	90	19	/	/	SYM
arjefm-59	90	20	m	m	NOUN
arjefm-59	90	21	)	)	PUNCT
arjefm-59	90	22	,	,	PUNCT
arjefm-59	90	23	the	the	DET
arjefm-59	90	24	use	use	NOUN
arjefm-59	90	25	of	of	ADP
arjefm-59	90	26	2x3	2x3	NUM
arjefm-59	90	27	sorts	sort	NOUN
arjefm-59	90	28	on	on	ADP
arjefm-59	90	29	sizeprof	sizeprof	NOUN
arjefm-59	90	30	and	and	CCONJ
arjefm-59	90	31	size	size	NOUN
arjefm-59	90	32	-	-	PUNCT
arjefm-59	90	33	invproduce	invproduce	NOUN
arjefm-59	90	34	two	two	NUM
arjefm-59	90	35	additional	additional	ADJ
arjefm-59	90	36	size	size	NOUN
arjefm-59	90	37	factors	factor	NOUN
arjefm-59	90	38	namely	namely	ADV
arjefm-59	90	39	,	,	PUNCT
arjefm-59	90	40	smbporfandsmbinv	smbporfandsmbinv	NOUN
arjefm-59	90	41	.	.	PUNCT
arjefm-59	91	1	therefore	therefore	ADV
arjefm-59	91	2	,	,	PUNCT
arjefm-59	91	3	size	size	NOUN
arjefm-59	91	4	factor	factor	NOUN
arjefm-59	91	5	(	(	PUNCT
arjefm-59	91	6	smb	smb	PROPN
arjefm-59	91	7	)	)	PUNCT
arjefm-59	91	8	from	from	ADP
arjefm-59	91	9	the	the	DET
arjefm-59	91	10	three	three	NUM
arjefm-59	91	11	2x3	2x3	NUM
arjefm-59	91	12	sorts	sort	NOUN
arjefm-59	91	13	is	be	AUX
arjefm-59	91	14	defined	define	VERB
arjefm-59	91	15	as	as	ADP
arjefm-59	91	16	the	the	DET
arjefm-59	91	17	average	average	NOUN
arjefm-59	91	18	of	of	ADP
arjefm-59	91	19	smbb	smbb	NOUN
arjefm-59	91	20	/	/	SYM
arjefm-59	91	21	m	m	PROPN
arjefm-59	91	22	,	,	PUNCT
arjefm-59	91	23	smbporfandsmbinv	smbporfandsmbinv	NOUN
arjefm-59	91	24	.	.	PUNCT
arjefm-59	91	25	table	table	NOUN
arjefm-59	91	26	1	1	NUM
arjefm-59	91	27	shows	show	VERB
arjefm-59	91	28	a	a	DET
arjefm-59	91	29	summary	summary	NOUN
arjefm-59	91	30	of	of	ADP
arjefm-59	91	31	factor	factor	NOUN
arjefm-59	91	32	construction	construction	NOUN
arjefm-59	91	33	process	process	NOUN
arjefm-59	91	34	in	in	ADP
arjefm-59	91	35	the	the	DET
arjefm-59	91	36	current	current	ADJ
arjefm-59	91	37	study	study	NOUN
arjefm-59	91	38	.	.	PUNCT
arjefm-59	92	1	table	table	NOUN
arjefm-59	92	2	1	1	NUM
arjefm-59	92	3	:	:	PUNCT
arjefm-59	92	4	construction	construction	NOUN
arjefm-59	92	5	of	of	ADP
arjefm-59	92	6	size	size	NOUN
arjefm-59	92	7	,	,	PUNCT
arjefm-59	92	8	value	value	NOUN
arjefm-59	92	9	,	,	PUNCT
arjefm-59	92	10	profitability	profitability	NOUN
arjefm-59	92	11	and	and	CCONJ
arjefm-59	92	12	investment	investment	NOUN
arjefm-59	92	13	factors	factor	NOUN
arjefm-59	92	14	sort	sort	VERB
arjefm-59	92	15	breakpoints	breakpoint	NOUN
arjefm-59	92	16	factors	factor	NOUN
arjefm-59	92	17	and	and	CCONJ
arjefm-59	92	18	their	their	PRON
arjefm-59	92	19	components	component	NOUN
arjefm-59	92	20	2x3	2x3	NUM
arjefm-59	92	21	sorts	sort	NOUN
arjefm-59	92	22	on	on	ADP
arjefm-59	92	23	size	size	NOUN
arjefm-59	92	24	and	and	CCONJ
arjefm-59	92	25	b	b	NOUN
arjefm-59	92	26	/	/	SYM
arjefm-59	92	27	m	m	PROPN
arjefm-59	92	28	,	,	PUNCT
arjefm-59	92	29	or	or	CCONJ
arjefm-59	92	30	size	size	NOUN
arjefm-59	92	31	and	and	CCONJ
arjefm-59	92	32	prof	prof	NOUN
arjefm-59	92	33	,	,	PUNCT
arjefm-59	92	34	or	or	CCONJ
arjefm-59	92	35	size	size	NOUN
arjefm-59	92	36	and	and	CCONJ
arjefm-59	92	37	inv	inv	ADJ
arjefm-59	92	38	size	size	NOUN
arjefm-59	92	39	:	:	PUNCT
arjefm-59	92	40	cse	cse	PROPN
arjefm-59	92	41	median	median	PROPN
arjefm-59	92	42	smbb	smbb	PROPN
arjefm-59	92	43	/	/	SYM
arjefm-59	92	44	m	m	PROPN
arjefm-59	92	45	=	=	PUNCT
arjefm-59	92	46	(	(	PUNCT
arjefm-59	92	47	sg	sg	PROPN
arjefm-59	92	48	+	+	CCONJ
arjefm-59	92	49	sn	sn	PROPN
arjefm-59	92	50	+	+	CCONJ
arjefm-59	92	51	sv)/3	sv)/3	NOUN
arjefm-59	92	52	–	–	PUNCT
arjefm-59	92	53	(	(	PUNCT
arjefm-59	92	54	bg	bg	NOUN
arjefm-59	93	1	+	+	NOUN
arjefm-59	93	2	bn	bn	PROPN
arjefm-59	93	3	+	+	NOUN
arjefm-59	93	4	bv)/3	bv)/3	PROPN
arjefm-59	93	5	smbporf=	smbporf=	NUM
arjefm-59	93	6	(	(	PUNCT
arjefm-59	93	7	sr	sr	PROPN
arjefm-59	93	8	+	+	CCONJ
arjefm-59	93	9	sn	sn	PROPN
arjefm-59	93	10	+	+	CCONJ
arjefm-59	93	11	sw)/3	sw)/3	NOUN
arjefm-59	93	12	–	–	PUNCT
arjefm-59	93	13	(	(	PUNCT
arjefm-59	93	14	br	br	NOUN
arjefm-59	93	15	+	+	NOUN
arjefm-59	94	1	bn	bn	ADP
arjefm-59	94	2	+	+	NOUN
arjefm-59	94	3	bl)/3	bl)/3	NOUN
arjefm-59	94	4	smbinv=	smbinv=	NUM
arjefm-59	94	5	(	(	PUNCT
arjefm-59	94	6	sa	sa	NOUN
arjefm-59	95	1	+	+	CCONJ
arjefm-59	95	2	sn	sn	PROPN
arjefm-59	95	3	+	+	CCONJ
arjefm-59	95	4	sc)/3	sc)/3	NOUN
arjefm-59	95	5	–	–	PUNCT
arjefm-59	95	6	(	(	PUNCT
arjefm-59	95	7	ba	ba	NOUN
arjefm-59	95	8	+	+	CCONJ
arjefm-59	95	9	bn	bn	CCONJ
arjefm-59	95	10	+	+	CCONJ
arjefm-59	95	11	bc)/3	bc)/3	NOUN
arjefm-59	95	12	smb	smb	NOUN
arjefm-59	95	13	=	=	SYM
arjefm-59	95	14	(	(	PUNCT
arjefm-59	95	15	smbb	smbb	NOUN
arjefm-59	95	16	/	/	SYM
arjefm-59	95	17	m	m	PROPN
arjefm-59	95	18	+	+	NUM
arjefm-59	95	19	smbprof+	smbprof+	X
arjefm-59	95	20	smbinv)/3	smbinv)/3	NOUN
arjefm-59	95	21	b	b	X
arjefm-59	95	22	/	/	SYM
arjefm-59	95	23	m	m	PROPN
arjefm-59	95	24	:	:	PUNCT
arjefm-59	95	25	30th	30th	ADJ
arjefm-59	95	26	percentiles	percentile	NOUN
arjefm-59	95	27	and	and	CCONJ
arjefm-59	95	28	70th	70th	ADJ
arjefm-59	95	29	hml=	hml=	PROPN
arjefm-59	95	30	(	(	PUNCT
arjefm-59	95	31	sv	sv	PROPN
arjefm-59	95	32	+	+	NUM
arjefm-59	95	33	bv)/2	bv)/2	PROPN
arjefm-59	95	34	–	–	PUNCT
arjefm-59	95	35	(	(	PUNCT
arjefm-59	95	36	sg	sg	ADP
arjefm-59	95	37	+	+	PROPN
arjefm-59	95	38	bg)/2	bg)/2	PROPN
arjefm-59	95	39	prof	prof	NOUN
arjefm-59	95	40	:	:	PUNCT
arjefm-59	95	41	30th	30th	NUM
arjefm-59	95	42	percentiles	percentile	NOUN
arjefm-59	95	43	and	and	CCONJ
arjefm-59	95	44	70th	70th	ADJ
arjefm-59	95	45	rmw=	rmw=	PROPN
arjefm-59	95	46	(	(	PUNCT
arjefm-59	95	47	sr	sr	PROPN
arjefm-59	95	48	+	+	CCONJ
arjefm-59	95	49	br)/2	br)/2	PROPN
arjefm-59	95	50	–	–	PUNCT
arjefm-59	95	51	(	(	PUNCT
arjefm-59	95	52	sw	sw	PROPN
arjefm-59	95	53	+	+	NUM
arjefm-59	95	54	bw)/2	bw)/2	PROPN
arjefm-59	95	55	inv	inv	ADJ
arjefm-59	95	56	:	:	PUNCT
arjefm-59	95	57	30th	30th	NUM
arjefm-59	95	58	percentiles	percentile	NOUN
arjefm-59	95	59	and	and	CCONJ
arjefm-59	95	60	70th	70th	ADJ
arjefm-59	95	61	cma=	cma=	PROPN
arjefm-59	95	62	(	(	PUNCT
arjefm-59	95	63	sc	sc	PROPN
arjefm-59	95	64	+	+	CCONJ
arjefm-59	95	65	bc)/2	bc)/2	NOUN
arjefm-59	95	66	–	–	PUNCT
arjefm-59	95	67	(	(	PUNCT
arjefm-59	95	68	sa	sa	NOUN
arjefm-59	95	69	+	+	CCONJ
arjefm-59	95	70	ba)/2	ba)/2	NOUN
arjefm-59	95	71	note	note	NOUN
arjefm-59	95	72	:	:	PUNCT
arjefm-59	95	73	researchers	researcher	NOUN
arjefm-59	95	74	’	'	PUNCT
arjefm-59	95	75	construction	construction	NOUN
arjefm-59	95	76	based	base	VERB
arjefm-59	95	77	on	on	ADP
arjefm-59	95	78	fama	fama	PROPN
arjefm-59	95	79	and	and	CCONJ
arjefm-59	95	80	french	french	ADJ
arjefm-59	95	81	(	(	PUNCT
arjefm-59	95	82	2015	2015	NUM
arjefm-59	95	83	)	)	PUNCT
arjefm-59	95	84	.	.	PUNCT
arjefm-59	96	1	size	size	NOUN
arjefm-59	96	2	,	,	PUNCT
arjefm-59	96	3	b	b	X
arjefm-59	96	4	/	/	SYM
arjefm-59	96	5	m	m	PROPN
arjefm-59	96	6	,	,	PUNCT
arjefm-59	96	7	prof	prof	NOUN
arjefm-59	96	8	and	and	CCONJ
arjefm-59	96	9	inv	inv	PROPN
arjefm-59	96	10	are	be	AUX
arjefm-59	96	11	market	market	NOUN
arjefm-59	96	12	capitalisation	capitalisation	NOUN
arjefm-59	96	13	,	,	PUNCT
arjefm-59	96	14	book	book	NOUN
arjefm-59	96	15	-	-	PUNCT
arjefm-59	96	16	to	to	ADP
arjefm-59	96	17	-	-	PUNCT
arjefm-59	96	18	market	market	NOUN
arjefm-59	96	19	ratio	ratio	NOUN
arjefm-59	96	20	,	,	PUNCT
arjefm-59	96	21	profitability	profitability	NOUN
arjefm-59	96	22	and	and	CCONJ
arjefm-59	96	23	investment	investment	NOUN
arjefm-59	96	24	respectively	respectively	ADV
arjefm-59	96	25	.	.	PUNCT
arjefm-59	97	1	in	in	ADP
arjefm-59	97	2	the	the	DET
arjefm-59	97	3	2x3	2x3	NUM
arjefm-59	97	4	sorts	sort	NOUN
arjefm-59	97	5	,	,	PUNCT
arjefm-59	97	6	the	the	DET
arjefm-59	97	7	size	size	NOUN
arjefm-59	97	8	group	group	NOUN
arjefm-59	97	9	,	,	PUNCT
arjefm-59	97	10	small	small	ADJ
arjefm-59	97	11	(	(	PUNCT
arjefm-59	97	12	s	s	NOUN
arjefm-59	97	13	)	)	PUNCT
arjefm-59	97	14	,	,	PUNCT
arjefm-59	97	15	neutral	neutral	ADJ
arjefm-59	97	16	(	(	PUNCT
arjefm-59	97	17	n	n	CCONJ
arjefm-59	97	18	)	)	PUNCT
arjefm-59	97	19	and	and	CCONJ
arjefm-59	97	20	big	big	ADJ
arjefm-59	97	21	(	(	PUNCT
arjefm-59	97	22	b	b	NOUN
arjefm-59	97	23	)	)	PUNCT
arjefm-59	97	24	,	,	PUNCT
arjefm-59	97	25	the	the	DET
arjefm-59	97	26	b	b	PROPN
arjefm-59	97	27	/	/	SYM
arjefm-59	97	28	m	m	PROPN
arjefm-59	97	29	group	group	NOUN
arjefm-59	97	30	,	,	PUNCT
arjefm-59	97	31	growth	growth	NOUN
arjefm-59	97	32	(	(	PUNCT
arjefm-59	97	33	g	g	NOUN
arjefm-59	97	34	)	)	PUNCT
arjefm-59	97	35	,	,	PUNCT
arjefm-59	97	36	neutral	neutral	ADJ
arjefm-59	97	37	(	(	PUNCT
arjefm-59	97	38	n	n	CCONJ
arjefm-59	97	39	)	)	PUNCT
arjefm-59	97	40	andvalue	andvalue	NOUN
arjefm-59	97	41	(	(	PUNCT
arjefm-59	97	42	v	v	NOUN
arjefm-59	97	43	)	)	PUNCT
arjefm-59	97	44	,	,	PUNCT
arjefm-59	97	45	the	the	DET
arjefm-59	97	46	profgroup	profgroup	NOUN
arjefm-59	97	47	,	,	PUNCT
arjefm-59	97	48	robust	robust	ADJ
arjefm-59	97	49	(	(	PUNCT
arjefm-59	97	50	r	r	NOUN
arjefm-59	97	51	)	)	PUNCT
arjefm-59	97	52	,	,	PUNCT
arjefm-59	97	53	neutral	neutral	ADJ
arjefm-59	97	54	(	(	PUNCT
arjefm-59	97	55	n	n	CCONJ
arjefm-59	97	56	)	)	PUNCT
arjefm-59	97	57	and	and	CCONJ
arjefm-59	97	58	weak	weak	ADJ
arjefm-59	97	59	(	(	PUNCT
arjefm-59	97	60	w	w	NOUN
arjefm-59	97	61	)	)	PUNCT
arjefm-59	97	62	,	,	PUNCT
arjefm-59	97	63	the	the	DET
arjefm-59	97	64	inv	inv	ADJ
arjefm-59	97	65	group	group	NOUN
arjefm-59	97	66	,	,	PUNCT
arjefm-59	97	67	conservative	conservative	ADJ
arjefm-59	97	68	(	(	PUNCT
arjefm-59	97	69	c	c	NOUN
arjefm-59	97	70	)	)	PUNCT
arjefm-59	97	71	,	,	PUNCT
arjefm-59	97	72	neutral	neutral	ADJ
arjefm-59	97	73	(	(	PUNCT
arjefm-59	97	74	n	n	CCONJ
arjefm-59	97	75	)	)	PUNCT
arjefm-59	97	76	and	and	CCONJ
arjefm-59	97	77	aggressive	aggressive	ADJ
arjefm-59	97	78	(	(	PUNCT
arjefm-59	97	79	a	a	NOUN
arjefm-59	97	80	)	)	PUNCT
arjefm-59	97	81	.	.	PUNCT
arjefm-59	98	1	the	the	DET
arjefm-59	98	2	factors	factor	NOUN
arjefm-59	98	3	are	be	AUX
arjefm-59	98	4	smb	smb	ADJ
arjefm-59	98	5	(	(	PUNCT
arjefm-59	98	6	small	small	ADJ
arjefm-59	98	7	minus	minus	CCONJ
arjefm-59	98	8	big	big	ADJ
arjefm-59	98	9	)	)	PUNCT
arjefm-59	98	10	,	,	PUNCT
arjefm-59	98	11	hml	hml	PROPN
arjefm-59	98	12	(	(	PUNCT
arjefm-59	98	13	value	value	NOUN
arjefm-59	98	14	minus	minus	CCONJ
arjefm-59	98	15	growth	growth	NOUN
arjefm-59	98	16	)	)	PUNCT
arjefm-59	98	17	,	,	PUNCT
arjefm-59	98	18	rmw	rmw	PROPN
arjefm-59	98	19	(	(	PUNCT
arjefm-59	98	20	robust	robust	ADJ
arjefm-59	98	21	minus	minus	CCONJ
arjefm-59	98	22	weak	weak	ADJ
arjefm-59	98	23	)	)	PUNCT
arjefm-59	98	24	,	,	PUNCT
arjefm-59	98	25	cma	cma	INTJ
arjefm-59	98	26	(	(	PUNCT
arjefm-59	98	27	conservative	conservative	ADJ
arjefm-59	98	28	minus	minus	CCONJ
arjefm-59	98	29	aggressive	aggressive	ADJ
arjefm-59	98	30	)	)	PUNCT
arjefm-59	98	31	.	.	PUNCT
arjefm-59	99	1	3.3	3.3	NUM
arjefm-59	99	2	estimation	estimation	NOUN
arjefm-59	99	3	of	of	ADP
arjefm-59	99	4	idiosyncratic	idiosyncratic	ADJ
arjefm-59	99	5	volatility	volatility	NOUN
arjefm-59	99	6	as	as	ADP
arjefm-59	99	7	in	in	ADP
arjefm-59	99	8	fu	fu	NOUN
arjefm-59	99	9	(	(	PUNCT
arjefm-59	99	10	2009	2009	NUM
arjefm-59	99	11	)	)	PUNCT
arjefm-59	99	12	,	,	PUNCT
arjefm-59	99	13	in	in	ADP
arjefm-59	99	14	the	the	DET
arjefm-59	99	15	current	current	ADJ
arjefm-59	99	16	study	study	NOUN
arjefm-59	99	17	the	the	DET
arjefm-59	99	18	authors	author	NOUN
arjefm-59	99	19	have	have	AUX
arjefm-59	99	20	employed	employ	VERB
arjefm-59	99	21	the	the	DET
arjefm-59	99	22	egarch	egarch	NOUN
arjefm-59	99	23	(	(	PUNCT
arjefm-59	99	24	p	p	X
arjefm-59	99	25	,	,	PUNCT
arjefm-59	99	26	q	q	NOUN
arjefm-59	99	27	)	)	PUNCT
arjefm-59	99	28	model	model	NOUN
arjefm-59	99	29	of	of	ADP
arjefm-59	99	30	nelson	nelson	PROPN
arjefm-59	99	31	(	(	PUNCT
arjefm-59	99	32	1991	1991	NUM
arjefm-59	99	33	)	)	PUNCT
arjefm-59	99	34	to	to	PART
arjefm-59	99	35	estimate	estimate	VERB
arjefm-59	99	36	the	the	DET
arjefm-59	99	37	idiosyncratic	idiosyncratic	ADJ
arjefm-59	99	38	volatility	volatility	NOUN
arjefm-59	99	39	of	of	ADP
arjefm-59	99	40	stocks	stock	NOUN
arjefm-59	99	41	and	and	CCONJ
arjefm-59	99	42	generated	generate	VERB
arjefm-59	99	43	nine	nine	NUM
arjefm-59	99	44	different	different	ADJ
arjefm-59	99	45	egarch	egarch	NOUN
arjefm-59	99	46	models	model	NOUN
arjefm-59	99	47	for	for	ADP
arjefm-59	99	48	each	each	DET
arjefm-59	99	49	stock	stock	NOUN
arjefm-59	99	50	using	use	VERB
arjefm-59	99	51	the	the	DET
arjefm-59	99	52	permutation	permutation	NOUN
arjefm-59	99	53	of1	of1	NOUN
arjefm-59	99	54	p	p	NOUN
arjefm-59	99	55	3	3	NUM
arjefm-59	99	56	,	,	PUNCT
arjefm-59	99	57	1	1	NUM
arjefm-59	99	58	q	q	SYM
arjefm-59	99	59	3	3	NUM
arjefm-59	99	60	order	order	NOUN
arjefm-59	99	61	.	.	PUNCT
arjefm-59	100	1	akaike	akaike	ADJ
arjefm-59	100	2	information	information	NOUN
arjefm-59	100	3	criterion	criterion	NOUN
arjefm-59	100	4	(	(	PUNCT
arjefm-59	100	5	aic	aic	PROPN
arjefm-59	100	6	)	)	PUNCT
arjefm-59	100	7	has	have	AUX
arjefm-59	100	8	been	be	AUX
arjefm-59	100	9	used	use	VERB
arjefm-59	100	10	in	in	ADP
arjefm-59	100	11	order	order	NOUN
arjefm-59	100	12	to	to	PART
arjefm-59	100	13	determine	determine	VERB
arjefm-59	100	14	the	the	DET
arjefm-59	100	15	best	good	ADJ
arjefm-59	100	16	model	model	NOUN
arjefm-59	100	17	for	for	ADP
arjefm-59	100	18	each	each	DET
arjefm-59	100	19	stock.the	stock.the	DET
arjefm-59	100	20	mean	mean	ADJ
arjefm-59	100	21	and	and	CCONJ
arjefm-59	100	22	variance	variance	NOUN
arjefm-59	100	23	equations	equation	NOUN
arjefm-59	100	24	of	of	ADP
arjefm-59	100	25	the	the	DET
arjefm-59	100	26	egarch	egarch	NOUN
arjefm-59	100	27	(	(	PUNCT
arjefm-59	100	28	p	p	X
arjefm-59	100	29	,	,	PUNCT
arjefm-59	100	30	q	q	NOUN
arjefm-59	100	31	)	)	PUNCT
arjefm-59	100	32	model	model	NOUN
arjefm-59	100	33	are	be	AUX
arjefm-59	100	34	specified	specify	VERB
arjefm-59	100	35	in	in	ADP
arjefm-59	100	36	the	the	DET
arjefm-59	100	37	equation	equation	NOUN
arjefm-59	100	38	(	(	PUNCT
arjefm-59	100	39	1	1	NUM
arjefm-59	100	40	)	)	PUNCT
arjefm-59	100	41	and	and	CCONJ
arjefm-59	100	42	equation	equation	NOUN
arjefm-59	100	43	(	(	PUNCT
arjefm-59	100	44	2	2	NUM
arjefm-59	100	45	)	)	PUNCT
arjefm-59	100	46	.	.	PUNCT
arjefm-59	101	1	rit	rit	NOUN
arjefm-59	101	2	–	–	PUNCT
arjefm-59	101	3	rft	rft	NOUN
arjefm-59	101	4	=	=	PUNCT
arjefm-59	101	5	αi	αi	NOUN
arjefm-59	101	6	+	+	CCONJ
arjefm-59	101	7	bi(rmt	bi(rmt	NOUN
arjefm-59	101	8	–	–	PUNCT
arjefm-59	101	9	rft	rft	NOUN
arjefm-59	101	10	)	)	PUNCT
arjefm-59	102	1	+	+	NUM
arjefm-59	102	2	sismbt	sismbt	NOUN
arjefm-59	102	3	+	+	CCONJ
arjefm-59	102	4	hi	hi	INTJ
arjefm-59	102	5	hmlt	hmlt	NOUN
arjefm-59	102	6	+	+	CCONJ
arjefm-59	102	7	rirmwt	rirmwt	NOUN
arjefm-59	102	8	+	+	CCONJ
arjefm-59	102	9	ci	ci	NOUN
arjefm-59	102	10	cmat	cmat	NOUN
arjefm-59	102	11	+	+	CCONJ
arjefm-59	102	12	εit	εit	VERB
arjefm-59	102	13	where	where	SCONJ
arjefm-59	102	14	εit	εit	VERB
arjefm-59	102	15	~	~	SYM
arjefm-59	102	16	n	n	CCONJ
arjefm-59	102	17	(	(	PUNCT
arjefm-59	102	18	0	0	NUM
arjefm-59	102	19	,	,	PUNCT
arjefm-59	102	20	σit2	σit2	NOUN
arjefm-59	102	21	)	)	PUNCT
arjefm-59	102	22	(	(	PUNCT
arjefm-59	102	23	1	1	X
arjefm-59	102	24	)	)	PUNCT
arjefm-59	102	25	mailto:contact@americaserial.com	mailto:contact@americaserial.com	NOUN
arjefm-59	102	26	mailto:contact@americaserial.com	mailto:contact@americaserial.com	PROPN
arjefm-59	103	1	american	american	PROPN
arjefm-59	103	2	research	research	PROPN
arjefm-59	103	3	journal	journal	PROPN
arjefm-59	103	4	of	of	ADP
arjefm-59	103	5	economics	economic	NOUN
arjefm-59	103	6	,	,	PUNCT
arjefm-59	103	7	finance	finance	NOUN
arjefm-59	103	8	and	and	CCONJ
arjefm-59	103	9	management	management	NOUN
arjefm-59	103	10	volume	volume	NOUN
arjefm-59	103	11	10	10	NUM
arjefm-59	103	12	issue	issue	NOUN
arjefm-59	103	13	1	1	NUM
arjefm-59	103	14	,	,	PUNCT
arjefm-59	103	15	january	january	PROPN
arjefm-59	103	16	-	-	PUNCT
arjefm-59	103	17	march	march	PROPN
arjefm-59	103	18	2022	2022	NUM
arjefm-59	103	19	issn	issn	NOUN
arjefm-59	103	20	:	:	PUNCT
arjefm-59	103	21	2836	2836	NUM
arjefm-59	103	22	-	-	SYM
arjefm-59	103	23	9416	9416	NUM
arjefm-59	103	24	impact	impact	NOUN
arjefm-59	103	25	factor	factor	NOUN
arjefm-59	103	26	:	:	PUNCT
arjefm-59	103	27	4.85	4.85	NUM
arjefm-59	103	28	journal	journal	NOUN
arjefm-59	103	29	homepage	homepage	NOUN
arjefm-59	103	30	:	:	PUNCT
arjefm-59	103	31	https://americaserial.com/journals/index.php/arjefm	https://americaserial.com/journals/index.php/arjefm	NOUN
arjefm-59	103	32	,	,	PUNCT
arjefm-59	103	33	email	email	NOUN
arjefm-59	103	34	:	:	PUNCT
arjefm-59	104	1	contact@americaserial.com	contact@americaserial.com	PROPN
arjefm-59	104	2	official	official	ADJ
arjefm-59	104	3	journal	journal	PROPN
arjefm-59	104	4	of	of	ADP
arjefm-59	104	5	america	america	PROPN
arjefm-59	104	6	serial	serial	PROPN
arjefm-59	104	7	publication	publication	NOUN
arjefm-59	104	8	american	american	PROPN
arjefm-59	104	9	research	research	PROPN
arjefm-59	104	10	journal	journal	PROPN
arjefm-59	104	11	of	of	ADP
arjefm-59	104	12	economics	economic	NOUN
arjefm-59	104	13	,	,	PUNCT
arjefm-59	104	14	finance	finance	NOUN
arjefm-59	104	15	and	and	CCONJ
arjefm-59	104	16	management	management	NOUN
arjefm-59	104	17	https://americaserial.com/journals/index.php/arjefm	https://americaserial.com/journals/index.php/arjefm	NOUN
arjefm-59	104	18	,	,	PUNCT
arjefm-59	104	19	email	email	NOUN
arjefm-59	104	20	:	:	PUNCT
arjefm-59	104	21	contact@americaserial.com	contact@americaserial.com	X
arjefm-59	105	1	6	6	NUM
arjefm-59	105	2	|	|	ADV
arjefm-59	105	3	p	p	X
arjefm-59	105	4	a	a	DET
arjefm-59	105	5	g	g	NOUN
arjefm-59	105	6	e	e	NOUN
arjefm-59	105	7	whererit	whererit	NOUN
arjefm-59	105	8	rftis	rftis	NOUN
arjefm-59	105	9	excess	excess	ADJ
arjefm-59	105	10	return	return	NOUN
arjefm-59	105	11	of	of	ADP
arjefm-59	105	12	stock	stock	NOUN
arjefm-59	105	13	i	i	PRON
arjefm-59	105	14	at	at	ADP
arjefm-59	105	15	month	month	NOUN
arjefm-59	105	16	t	t	PROPN
arjefm-59	105	17	where	where	SCONJ
arjefm-59	105	18	(	(	PUNCT
arjefm-59	105	19	rm	rm	NOUN
arjefm-59	105	20	-	-	PUNCT
arjefm-59	105	21	rf	rf	NOUN
arjefm-59	105	22	)	)	PUNCT
arjefm-59	105	23	is	be	AUX
arjefm-59	105	24	the	the	DET
arjefm-59	105	25	market	market	NOUN
arjefm-59	105	26	factor	factor	NOUN
arjefm-59	105	27	and	and	CCONJ
arjefm-59	105	28	smb	smb	NOUN
arjefm-59	105	29	is	be	AUX
arjefm-59	105	30	the	the	DET
arjefm-59	105	31	monthly	monthly	ADJ
arjefm-59	105	32	size	size	NOUN
arjefm-59	105	33	factor.hml	factor.hml	X
arjefm-59	105	34	is	be	AUX
arjefm-59	105	35	the	the	DET
arjefm-59	105	36	monthly	monthly	ADJ
arjefm-59	105	37	value	value	NOUN
arjefm-59	105	38	factor	factor	NOUN
arjefm-59	105	39	whilermw	whilermw	NOUN
arjefm-59	105	40	and	and	CCONJ
arjefm-59	105	41	cma	cma	NOUN
arjefm-59	105	42	are	be	AUX
arjefm-59	105	43	monthly	monthly	ADJ
arjefm-59	105	44	profitability	profitability	NOUN
arjefm-59	105	45	and	and	CCONJ
arjefm-59	105	46	investment	investment	NOUN
arjefm-59	105	47	risk	risk	NOUN
arjefm-59	105	48	factors	factor	NOUN
arjefm-59	105	49	respectively	respectively	ADV
arjefm-59	105	50	.	.	PUNCT
arjefm-59	106	1	ln	ln	ADJ
arjefm-59	106	2	σit2is	σit2is	NOUN
arjefm-59	106	3	log	log	NOUN
arjefm-59	106	4	of	of	ADP
arjefm-59	106	5	the	the	DET
arjefm-59	106	6	conditional	conditional	ADJ
arjefm-59	106	7	variance	variance	NOUN
arjefm-59	106	8	of	of	ADP
arjefm-59	106	9	the	the	DET
arjefm-59	106	10	stock	stock	NOUN
arjefm-59	106	11	returns	return	NOUN
arjefm-59	106	12	of	of	ADP
arjefm-59	106	13	stock	stock	NOUN
arjefm-59	106	14	i	i	PRON
arjefm-59	106	15	at	at	ADP
arjefm-59	106	16	time	time	NOUN
arjefm-59	106	17	t	t	PROPN
arjefm-59	106	18	while	while	SCONJ
arjefm-59	106	19	αi	αi	NOUN
arjefm-59	106	20	bi	bi	NOUN
arjefm-59	106	21	,	,	PUNCT
arjefm-59	106	22	ci	ci	PROPN
arjefm-59	106	23	and	and	CCONJ
arjefm-59	106	24	are	be	AUX
arjefm-59	106	25	constant	constant	ADJ
arjefm-59	106	26	in	in	ADP
arjefm-59	106	27	the	the	DET
arjefm-59	106	28	egarch	egarch	NOUN
arjefm-59	106	29	model	model	NOUN
arjefm-59	106	30	,	,	PUNCT
arjefm-59	106	31	vector	vector	NOUN
arjefm-59	106	32	of	of	ADP
arjefm-59	106	33	coefficients	coefficient	NOUN
arjefm-59	106	34	and	and	CCONJ
arjefm-59	106	35	asymmetric	asymmetric	ADJ
arjefm-59	106	36	coefficient	coefficient	NOUN
arjefm-59	106	37	respectively	respectively	ADV
arjefm-59	106	38	.	.	PUNCT
arjefm-59	107	1	further	far	ADV
arjefm-59	107	2	,	,	PUNCT
arjefm-59	107	3	the	the	DET
arjefm-59	107	4	conditional	conditional	ADJ
arjefm-59	107	5	distribution	distribution	NOUN
arjefm-59	107	6	of	of	ADP
arjefm-59	107	7	residuals	residual	NOUN
arjefm-59	107	8	(	(	PUNCT
arjefm-59	107	9	εit	εit	NOUN
arjefm-59	107	10	)	)	PUNCT
arjefm-59	107	11	in	in	ADP
arjefm-59	107	12	the	the	DET
arjefm-59	107	13	mean	mean	ADJ
arjefm-59	107	14	equation	equation	NOUN
arjefm-59	107	15	is	be	AUX
arjefm-59	107	16	based	base	VERB
arjefm-59	107	17	on	on	ADP
arjefm-59	107	18	the	the	DET
arjefm-59	107	19	set	set	NOUN
arjefm-59	107	20	of	of	ADP
arjefm-59	107	21	information	information	NOUN
arjefm-59	107	22	at	at	ADP
arjefm-59	107	23	t-1	t-1	PROPN
arjefm-59	107	24	which	which	PRON
arjefm-59	107	25	is	be	AUX
arjefm-59	107	26	assumed	assume	VERB
arjefm-59	107	27	to	to	PART
arjefm-59	107	28	be	be	AUX
arjefm-59	107	29	normal	normal	ADJ
arjefm-59	107	30	with	with	ADP
arjefm-59	107	31	the	the	DET
arjefm-59	107	32	mean	mean	NOUN
arjefm-59	107	33	of	of	ADP
arjefm-59	107	34	zero	zero	NUM
arjefm-59	107	35	and	and	CCONJ
arjefm-59	107	36	variance	variance	NOUN
arjefm-59	107	37	of	of	ADP
arjefm-59	107	38	σit2	σit2	NOUN
arjefm-59	107	39	whereas	whereas	SCONJ
arjefm-59	107	40	the	the	DET
arjefm-59	107	41	conditional	conditional	ADJ
arjefm-59	107	42	variance	variance	NOUN
arjefm-59	107	43	(	(	PUNCT
arjefm-59	107	44	σit2	σit2	NOUN
arjefm-59	107	45	)	)	PUNCT
arjefm-59	107	46	in	in	ADP
arjefm-59	107	47	the	the	DET
arjefm-59	107	48	variance	variance	NOUN
arjefm-59	107	49	equation	equation	NOUN
arjefm-59	107	50	is	be	AUX
arjefm-59	107	51	a	a	DET
arjefm-59	107	52	function	function	NOUN
arjefm-59	107	53	of	of	ADP
arjefm-59	107	54	past	past	ADJ
arjefm-59	107	55	p	p	NOUN
arjefm-59	107	56	-	-	PUNCT
arjefm-59	107	57	period	period	NOUN
arjefm-59	107	58	of	of	ADP
arjefm-59	107	59	residual	residual	ADJ
arjefm-59	107	60	variance	variance	NOUN
arjefm-59	107	61	and	and	CCONJ
arjefm-59	107	62	past	past	ADJ
arjefm-59	107	63	q	q	NOUN
arjefm-59	107	64	-	-	PUNCT
arjefm-59	107	65	period	period	NOUN
arjefm-59	107	66	of	of	ADP
arjefm-59	107	67	return	return	NOUN
arjefm-59	107	68	shocks	shock	NOUN
arjefm-59	107	69	where	where	SCONJ
arjefm-59	107	70	α	α	NOUN
arjefm-59	107	71	i	i	NOUN
arjefm-59	107	72	0	0	NUM
arjefm-59	107	73	,	,	PUNCT
arjefm-59	107	74	bi+	bi+	VERB
arjefm-59	107	75	ci	ci	PROPN
arjefm-59	107	76	1	1	NUM
arjefm-59	107	77	,	,	PUNCT
arjefm-59	107	78	and	and	CCONJ
arjefm-59	107	79	λ	λ	X
arjefm-59	107	80	0	0	PUNCT
arjefm-59	108	1	if	if	SCONJ
arjefm-59	108	2	volatility	volatility	NOUN
arjefm-59	108	3	is	be	AUX
arjefm-59	108	4	asymmetric	asymmetric	ADJ
arjefm-59	108	5	.	.	PUNCT
arjefm-59	109	1	the	the	DET
arjefm-59	109	2	idiosyncratic	idiosyncratic	ADJ
arjefm-59	109	3	volatility	volatility	NOUN
arjefm-59	109	4	(	(	PUNCT
arjefm-59	109	5	ivol	ivol	NOUN
arjefm-59	109	6	)	)	PUNCT
arjefm-59	109	7	of	of	ADP
arjefm-59	109	8	stocks	stock	NOUN
arjefm-59	109	9	is	be	AUX
arjefm-59	109	10	measured	measure	VERB
arjefm-59	109	11	as	as	ADP
arjefm-59	109	12	the	the	DET
arjefm-59	109	13	square	square	ADJ
arjefm-59	109	14	root	root	NOUN
arjefm-59	109	15	of	of	ADP
arjefm-59	109	16	the	the	DET
arjefm-59	109	17	conditional	conditional	ADJ
arjefm-59	109	18	variance	variance	NOUN
arjefm-59	109	19	of	of	ADP
arjefm-59	109	20	residuals	residual	NOUN
arjefm-59	109	21	of	of	ADP
arjefm-59	109	22	five	five	NUM
arjefm-59	109	23	-	-	PUNCT
arjefm-59	109	24	factor	factor	NOUN
arjefm-59	109	25	asset	asset	NOUN
arjefm-59	109	26	pricing	pricing	NOUN
arjefm-59	109	27	model	model	NOUN
arjefm-59	109	28	estimated	estimate	VERB
arjefm-59	109	29	using	use	VERB
arjefm-59	109	30	the	the	DET
arjefm-59	109	31	egarch	egarch	NOUN
arjefm-59	109	32	model	model	NOUN
arjefm-59	109	33	.	.	PUNCT
arjefm-59	110	1	furthermore	furthermore	ADV
arjefm-59	110	2	,	,	PUNCT
arjefm-59	110	3	the	the	DET
arjefm-59	110	4	selected	select	VERB
arjefm-59	110	5	firms	firm	NOUN
arjefm-59	110	6	in	in	ADP
arjefm-59	110	7	the	the	DET
arjefm-59	110	8	sample	sample	NOUN
arjefm-59	110	9	of	of	ADP
arjefm-59	110	10	the	the	DET
arjefm-59	110	11	current	current	ADJ
arjefm-59	110	12	study	study	NOUN
arjefm-59	110	13	have	have	VERB
arjefm-59	110	14	at	at	ADV
arjefm-59	110	15	least	least	ADV
arjefm-59	110	16	30	30	NUM
arjefm-59	110	17	monthly	monthly	ADJ
arjefm-59	110	18	return	return	NOUN
arjefm-59	110	19	observations	observation	NOUN
arjefm-59	110	20	in	in	ADP
arjefm-59	110	21	order	order	NOUN
arjefm-59	110	22	to	to	PART
arjefm-59	110	23	overcome	overcome	VERB
arjefm-59	110	24	the	the	DET
arjefm-59	110	25	look	look	VERB
arjefm-59	110	26	-	-	PUNCT
arjefm-59	110	27	ahead	ahead	NOUN
arjefm-59	110	28	biasness	biasness	NOUN
arjefm-59	110	29	problem	problem	NOUN
arjefm-59	110	30	(	(	PUNCT
arjefm-59	110	31	fu	fu	ADJ
arjefm-59	110	32	,	,	PUNCT
arjefm-59	110	33	2009	2009	NUM
arjefm-59	110	34	;	;	PUNCT
arjefm-59	110	35	pukthuanthong	pukthuanthong	NOUN
arjefm-59	110	36	-	-	PUNCT
arjefm-59	110	37	le	le	X
arjefm-59	110	38	&	&	CCONJ
arjefm-59	110	39	visaltanachoti	visaltanachoti	PROPN
arjefm-59	110	40	,	,	PUNCT
arjefm-59	110	41	2009	2009	NUM
arjefm-59	110	42	)	)	PUNCT
arjefm-59	110	43	.	.	PUNCT
arjefm-59	111	1	3.4	3.4	NUM
arjefm-59	111	2	portfolio	portfolio	NOUN
arjefm-59	111	3	formation	formation	NOUN
arjefm-59	111	4	in	in	ADP
arjefm-59	111	5	order	order	NOUN
arjefm-59	111	6	to	to	PART
arjefm-59	111	7	draw	draw	VERB
arjefm-59	111	8	inferences	inference	NOUN
arjefm-59	111	9	between	between	ADP
arjefm-59	111	10	idiosyncratic	idiosyncratic	ADJ
arjefm-59	111	11	volatility	volatility	NOUN
arjefm-59	111	12	and	and	CCONJ
arjefm-59	111	13	average	average	ADJ
arjefm-59	111	14	stock	stock	NOUN
arjefm-59	111	15	returns	return	NOUN
arjefm-59	111	16	,	,	PUNCT
arjefm-59	111	17	the	the	DET
arjefm-59	111	18	authors	author	NOUN
arjefm-59	111	19	have	have	AUX
arjefm-59	111	20	formed	form	VERB
arjefm-59	111	21	idiosyncratic	idiosyncratic	ADJ
arjefm-59	111	22	volatility	volatility	NOUN
arjefm-59	111	23	sorted	sort	VERB
arjefm-59	111	24	portfolios	portfolio	NOUN
arjefm-59	111	25	in	in	ADP
arjefm-59	111	26	the	the	DET
arjefm-59	111	27	current	current	ADJ
arjefm-59	111	28	study	study	NOUN
arjefm-59	111	29	.	.	PUNCT
arjefm-59	112	1	accordingly	accordingly	ADV
arjefm-59	112	2	,	,	PUNCT
arjefm-59	112	3	five	five	NUM
arjefm-59	112	4	equal	equal	ADJ
arjefm-59	112	5	-	-	PUNCT
arjefm-59	112	6	weight	weight	NOUN
arjefm-59	112	7	and	and	CCONJ
arjefm-59	112	8	value	value	NOUN
arjefm-59	112	9	-	-	PUNCT
arjefm-59	112	10	weight	weight	NOUN
arjefm-59	112	11	idiosyncratic	idiosyncratic	ADJ
arjefm-59	112	12	volatility	volatility	NOUN
arjefm-59	112	13	sorted	sort	VERB
arjefm-59	112	14	portfolios	portfolio	NOUN
arjefm-59	112	15	formed	form	VERB
arjefm-59	112	16	to	to	PART
arjefm-59	112	17	analyze	analyze	VERB
arjefm-59	112	18	the	the	DET
arjefm-59	112	19	association	association	NOUN
arjefm-59	112	20	between	between	ADP
arjefm-59	112	21	average	average	ADJ
arjefm-59	112	22	stock	stock	NOUN
arjefm-59	112	23	returns	return	NOUN
arjefm-59	112	24	and	and	CCONJ
arjefm-59	112	25	idiosyncratic	idiosyncratic	ADJ
arjefm-59	112	26	volatility	volatility	NOUN
arjefm-59	112	27	.	.	PUNCT
arjefm-59	113	1	3.5	3.5	NUM
arjefm-59	113	2	gibbons	gibbon	NOUN
arjefm-59	113	3	,	,	PUNCT
arjefm-59	113	4	ross	ross	PROPN
arjefm-59	113	5	and	and	CCONJ
arjefm-59	113	6	shanken	shanken	VERB
arjefm-59	113	7	(	(	PUNCT
arjefm-59	113	8	1989	1989	NUM
arjefm-59	113	9	)	)	PUNCT
arjefm-59	113	10	test	test	NOUN
arjefm-59	113	11	the	the	DET
arjefm-59	113	12	null	null	ADJ
arjefm-59	113	13	hypothesis	hypothesis	NOUN
arjefm-59	113	14	of	of	ADP
arjefm-59	113	15	gibbons	gibbon	NOUN
arjefm-59	113	16	,	,	PUNCT
arjefm-59	113	17	ross	ross	PROPN
arjefm-59	113	18	,	,	PUNCT
arjefm-59	113	19	and	and	CCONJ
arjefm-59	113	20	shanken	shanken	VERB
arjefm-59	113	21	(	(	PUNCT
arjefm-59	113	22	grs	grs	PROPN
arjefm-59	113	23	)	)	PUNCT
arjefm-59	113	24	(	(	PUNCT
arjefm-59	113	25	1989	1989	NUM
arjefm-59	113	26	)	)	PUNCT
arjefm-59	113	27	test	test	NOUN
arjefm-59	113	28	notes	note	NOUN
arjefm-59	113	29	that	that	SCONJ
arjefm-59	113	30	regression	regression	VERB
arjefm-59	113	31	intercepts	intercept	NOUN
arjefm-59	113	32	of	of	ADP
arjefm-59	113	33	different	different	ADJ
arjefm-59	113	34	asset	asset	NOUN
arjefm-59	113	35	portfolios	portfolio	NOUN
arjefm-59	113	36	developed	develop	VERB
arjefm-59	113	37	through	through	ADP
arjefm-59	113	38	the	the	DET
arjefm-59	113	39	asset	asset	NOUN
arjefm-59	113	40	pricing	pricing	NOUN
arjefm-59	113	41	models	model	NOUN
arjefm-59	113	42	are	be	AUX
arjefm-59	113	43	not	not	PART
arjefm-59	113	44	significantly	significantly	ADV
arjefm-59	113	45	different	different	ADJ
arjefm-59	113	46	from	from	ADP
arjefm-59	113	47	zero	zero	NUM
arjefm-59	113	48	.	.	PUNCT
arjefm-59	114	1	thus	thus	ADV
arjefm-59	114	2	,	,	PUNCT
arjefm-59	114	3	in	in	ADP
arjefm-59	114	4	order	order	NOUN
arjefm-59	114	5	to	to	PART
arjefm-59	114	6	achieve	achieve	VERB
arjefm-59	114	7	the	the	DET
arjefm-59	114	8	objective	objective	NOUN
arjefm-59	114	9	of	of	ADP
arjefm-59	114	10	the	the	DET
arjefm-59	114	11	current	current	ADJ
arjefm-59	114	12	study	study	NOUN
arjefm-59	114	13	the	the	DET
arjefm-59	114	14	authors	author	NOUN
arjefm-59	114	15	have	have	AUX
arjefm-59	114	16	used	use	VERB
arjefm-59	114	17	the	the	DET
arjefm-59	114	18	grs	grs	PROPN
arjefm-59	114	19	test	test	NOUN
arjefm-59	114	20	for	for	ADP
arjefm-59	114	21	idiosyncratic	idiosyncratic	ADJ
arjefm-59	114	22	volatility	volatility	NOUN
arjefm-59	114	23	sorted	sort	VERB
arjefm-59	114	24	portfolios	portfolio	NOUN
arjefm-59	114	25	.	.	PUNCT
arjefm-59	115	1	4	4	X
arjefm-59	115	2	.	.	X
arjefm-59	115	3	summary	summary	NOUN
arjefm-59	115	4	statistics	statistic	NOUN
arjefm-59	115	5	4.1	4.1	NUM
arjefm-59	115	6	descriptive	descriptive	ADJ
arjefm-59	115	7	statistics	statistic	NOUN
arjefm-59	115	8	table	table	NOUN
arjefm-59	115	9	2	2	NUM
arjefm-59	115	10	shows	show	VERB
arjefm-59	115	11	the	the	DET
arjefm-59	115	12	descriptive	descriptive	ADJ
arjefm-59	115	13	statistics	statistic	NOUN
arjefm-59	115	14	of	of	ADP
arjefm-59	115	15	the	the	DET
arjefm-59	115	16	variables	variable	NOUN
arjefm-59	115	17	used	use	VERB
arjefm-59	115	18	in	in	ADP
arjefm-59	115	19	the	the	DET
arjefm-59	115	20	study	study	NOUN
arjefm-59	115	21	.	.	PUNCT
arjefm-59	116	1	the	the	DET
arjefm-59	116	2	average	average	ADJ
arjefm-59	116	3	stock	stock	NOUN
arjefm-59	116	4	return	return	NOUN
arjefm-59	116	5	is	be	AUX
arjefm-59	116	6	found	find	VERB
arjefm-59	116	7	to	to	PART
arjefm-59	116	8	be	be	AUX
arjefm-59	116	9	0.93	0.93	NUM
arjefm-59	116	10	percent	percent	NOUN
arjefm-59	116	11	in	in	ADP
arjefm-59	116	12	sri	sri	PROPN
arjefm-59	116	13	lanka	lanka	PROPN
arjefm-59	116	14	while	while	SCONJ
arjefm-59	116	15	fu	fu	PROPN
arjefm-59	116	16	(	(	PUNCT
arjefm-59	116	17	2009	2009	NUM
arjefm-59	116	18	)	)	PUNCT
arjefm-59	116	19	reports	report	VERB
arjefm-59	116	20	a	a	DET
arjefm-59	116	21	mean	mean	NOUN
arjefm-59	116	22	return	return	NOUN
arjefm-59	116	23	value	value	NOUN
arjefm-59	116	24	of	of	ADP
arjefm-59	116	25	1.18	1.18	NUM
arjefm-59	116	26	percent	percent	NOUN
arjefm-59	116	27	with	with	ADP
arjefm-59	116	28	respect	respect	NOUN
arjefm-59	116	29	to	to	ADP
arjefm-59	116	30	the	the	DET
arjefm-59	116	31	united	united	PROPN
arjefm-59	116	32	states	states	PROPN
arjefm-59	116	33	.	.	PUNCT
arjefm-59	117	1	further	far	ADV
arjefm-59	117	2	,	,	PUNCT
arjefm-59	117	3	market	market	NOUN
arjefm-59	117	4	factor	factor	NOUN
arjefm-59	117	5	is	be	AUX
arjefm-59	117	6	found	find	VERB
arjefm-59	117	7	to	to	PART
arjefm-59	117	8	be	be	AUX
arjefm-59	117	9	highly	highly	ADV
arjefm-59	117	10	volatile	volatile	ADJ
arjefm-59	117	11	compared	compare	VERB
arjefm-59	117	12	to	to	ADP
arjefm-59	117	13	other	other	ADJ
arjefm-59	117	14	risk	risk	NOUN
arjefm-59	117	15	factors	factor	NOUN
arjefm-59	117	16	whereabeysekera	whereabeysekera	NOUN
arjefm-59	117	17	and	and	CCONJ
arjefm-59	117	18	nimal	nimal	PROPN
arjefm-59	117	19	(	(	PUNCT
arjefm-59	117	20	2017	2017	NUM
arjefm-59	117	21	)	)	PUNCT
arjefm-59	117	22	note	note	VERB
arjefm-59	117	23	similar	similar	ADJ
arjefm-59	117	24	findings	finding	NOUN
arjefm-59	117	25	in	in	ADP
arjefm-59	117	26	relation	relation	NOUN
arjefm-59	117	27	to	to	ADP
arjefm-59	117	28	the	the	DET
arjefm-59	117	29	cse	cse	NOUN
arjefm-59	117	30	.	.	PUNCT
arjefm-59	118	1	also	also	ADV
arjefm-59	118	2	,	,	PUNCT
arjefm-59	118	3	ang	ang	INTJ
arjefm-59	118	4	et	et	PROPN
arjefm-59	118	5	al	al	PROPN
arjefm-59	118	6	.	.	PROPN
arjefm-59	118	7	(	(	PUNCT
arjefm-59	118	8	2009	2009	NUM
arjefm-59	118	9	)	)	PUNCT
arjefm-59	118	10	highlight	highlight	VERB
arjefm-59	118	11	that	that	SCONJ
arjefm-59	118	12	market	market	NOUN
arjefm-59	118	13	factor	factor	NOUN
arjefm-59	118	14	seems	seem	VERB
arjefm-59	118	15	to	to	PART
arjefm-59	118	16	be	be	AUX
arjefm-59	118	17	highly	highly	ADV
arjefm-59	118	18	volatile	volatile	ADJ
arjefm-59	118	19	in	in	ADP
arjefm-59	118	20	the	the	DET
arjefm-59	118	21	asian	asian	ADJ
arjefm-59	118	22	context	context	NOUN
arjefm-59	118	23	.	.	PUNCT
arjefm-59	119	1	even	even	ADV
arjefm-59	119	2	though	though	ADV
arjefm-59	119	3	,	,	PUNCT
arjefm-59	119	4	the	the	DET
arjefm-59	119	5	mean	mean	ADJ
arjefm-59	119	6	value	value	NOUN
arjefm-59	119	7	of	of	ADP
arjefm-59	119	8	size	size	NOUN
arjefm-59	119	9	factor	factor	NOUN
arjefm-59	119	10	(	(	PUNCT
arjefm-59	119	11	0.37	0.37	NUM
arjefm-59	119	12	percent	percent	NOUN
arjefm-59	119	13	)	)	PUNCT
arjefm-59	119	14	slightly	slightly	ADV
arjefm-59	119	15	deviates	deviate	VERB
arjefm-59	119	16	from	from	ADP
arjefm-59	119	17	the	the	DET
arjefm-59	119	18	previous	previous	ADJ
arjefm-59	119	19	findings	finding	NOUN
arjefm-59	119	20	,	,	PUNCT
arjefm-59	119	21	a	a	DET
arjefm-59	119	22	mean	mean	ADJ
arjefm-59	119	23	size	size	NOUN
arjefm-59	119	24	factor	factor	NOUN
arjefm-59	119	25	closer	close	ADJ
arjefm-59	119	26	to	to	ADP
arjefm-59	119	27	zero	zero	NUM
arjefm-59	119	28	is	be	AUX
arjefm-59	119	29	in	in	ADP
arjefm-59	119	30	line	line	NOUN
arjefm-59	119	31	with	with	ADP
arjefm-59	119	32	the	the	DET
arjefm-59	119	33	findings	finding	NOUN
arjefm-59	119	34	offama	offama	NOUN
arjefm-59	119	35	and	and	CCONJ
arjefm-59	119	36	french	french	ADJ
arjefm-59	119	37	(	(	PUNCT
arjefm-59	119	38	2012	2012	NUM
arjefm-59	119	39	)	)	PUNCT
arjefm-59	119	40	and	and	CCONJ
arjefm-59	119	41	abeysekera	abeysekera	NOUN
arjefm-59	119	42	and	and	CCONJ
arjefm-59	119	43	nimal	nimal	PROPN
arjefm-59	119	44	(	(	PUNCT
arjefm-59	119	45	2017	2017	NUM
arjefm-59	119	46	)	)	PUNCT
arjefm-59	119	47	.	.	PUNCT
arjefm-59	120	1	however	however	ADV
arjefm-59	120	2	,	,	PUNCT
arjefm-59	120	3	the	the	DET
arjefm-59	120	4	average	average	ADJ
arjefm-59	120	5	value	value	NOUN
arjefm-59	120	6	factor	factor	NOUN
arjefm-59	120	7	of	of	ADP
arjefm-59	120	8	0.6	0.6	NUM
arjefm-59	120	9	percent	percent	NOUN
arjefm-59	120	10	(	(	PUNCT
arjefm-59	120	11	see	see	VERB
arjefm-59	120	12	table	table	NOUN
arjefm-59	120	13	2	2	NUM
arjefm-59	120	14	)	)	PUNCT
arjefm-59	120	15	is	be	AUX
arjefm-59	120	16	found	find	VERB
arjefm-59	120	17	to	to	PART
arjefm-59	120	18	be	be	AUX
arjefm-59	120	19	parallel	parallel	ADJ
arjefm-59	120	20	with	with	ADP
arjefm-59	120	21	both	both	CCONJ
arjefm-59	120	22	local	local	ADJ
arjefm-59	120	23	and	and	CCONJ
arjefm-59	120	24	international	international	ADJ
arjefm-59	120	25	findings	finding	NOUN
arjefm-59	120	26	.	.	PUNCT
arjefm-59	121	1	for	for	ADP
arjefm-59	121	2	instance	instance	NOUN
arjefm-59	121	3	,	,	PUNCT
arjefm-59	121	4	abeysekera	abeysekera	NOUN
arjefm-59	121	5	and	and	CCONJ
arjefm-59	121	6	nimal	nimal	PROPN
arjefm-59	121	7	(	(	PUNCT
arjefm-59	121	8	2016	2016	NUM
arjefm-59	121	9	)	)	PUNCT
arjefm-59	121	10	reports	report	VERB
arjefm-59	121	11	a	a	DET
arjefm-59	121	12	mean	mean	ADJ
arjefm-59	121	13	value	value	NOUN
arjefm-59	121	14	factor	factor	NOUN
arjefm-59	121	15	of	of	ADP
arjefm-59	121	16	0.54	0.54	NUM
arjefm-59	121	17	percent	percent	NOUN
arjefm-59	121	18	in	in	ADP
arjefm-59	121	19	the	the	DET
arjefm-59	121	20	sri	sri	ADJ
arjefm-59	121	21	lankan	lankan	PROPN
arjefm-59	121	22	context	context	PROPN
arjefm-59	121	23	whilefama	whilefama	NOUN
arjefm-59	121	24	and	and	CCONJ
arjefm-59	121	25	french	french	ADJ
arjefm-59	121	26	(	(	PUNCT
arjefm-59	121	27	2012	2012	NUM
arjefm-59	121	28	)	)	PUNCT
arjefm-59	121	29	and	and	CCONJ
arjefm-59	121	30	ang	ang	INTJ
arjefm-59	121	31	et	et	PROPN
arjefm-59	121	32	al	al	PROPN
arjefm-59	121	33	.	.	PROPN
arjefm-59	122	1	(	(	PUNCT
arjefm-59	122	2	2009	2009	NUM
arjefm-59	122	3	)	)	PUNCT
arjefm-59	122	4	report	report	NOUN
arjefm-59	122	5	average	average	ADJ
arjefm-59	122	6	value	value	NOUN
arjefm-59	122	7	factors	factor	NOUN
arjefm-59	122	8	of	of	ADP
arjefm-59	122	9	0.62	0.62	NUM
arjefm-59	122	10	percent	percent	NOUN
arjefm-59	122	11	and	and	CCONJ
arjefm-59	122	12	0.72	0.72	NUM
arjefm-59	122	13	percent	percent	NOUN
arjefm-59	122	14	forasia	forasia	PROPN
arjefm-59	122	15	pacific	pacific	PROPN
arjefm-59	122	16	and	and	CCONJ
arjefm-59	122	17	asia	asia	PROPN
arjefm-59	122	18	respectively	respectively	ADV
arjefm-59	122	19	.	.	PUNCT
arjefm-59	123	1	table	table	NOUN
arjefm-59	123	2	2	2	NUM
arjefm-59	123	3	:	:	PUNCT
arjefm-59	123	4	descriptive	descriptive	ADJ
arjefm-59	123	5	statistics	statistic	NOUN
arjefm-59	123	6	𝑅	𝑅	PROPN
arjefm-59	123	7	r	r	NOUN
arjefm-59	123	8	m	m	NOUN
arjefm-59	123	9	r	r	NOUN
arjefm-59	123	10	f	f	PROPN
arjefm-59	123	11	smb	smb	NOUN
arjefm-59	123	12	hml	hml	PROPN
arjefm-59	123	13	rmw	rmw	PROPN
arjefm-59	123	14	cma	cma	PROPN
arjefm-59	123	15	ivol	ivol	PROPN
arjefm-59	123	16	mailto:contact@americaserial.com	mailto:contact@americaserial.com	PROPN
arjefm-59	123	17	mailto:contact@americaserial.com	mailto:contact@americaserial.com	PROPN
arjefm-59	124	1	american	american	PROPN
arjefm-59	124	2	research	research	PROPN
arjefm-59	124	3	journal	journal	PROPN
arjefm-59	124	4	of	of	ADP
arjefm-59	124	5	economics	economic	NOUN
arjefm-59	124	6	,	,	PUNCT
arjefm-59	124	7	finance	finance	NOUN
arjefm-59	124	8	and	and	CCONJ
arjefm-59	124	9	management	management	NOUN
arjefm-59	124	10	volume	volume	NOUN
arjefm-59	124	11	10	10	NUM
arjefm-59	124	12	issue	issue	NOUN
arjefm-59	124	13	1	1	NUM
arjefm-59	124	14	,	,	PUNCT
arjefm-59	124	15	january	january	PROPN
arjefm-59	124	16	-	-	PUNCT
arjefm-59	124	17	march	march	PROPN
arjefm-59	124	18	2022	2022	NUM
arjefm-59	124	19	issn	issn	NOUN
arjefm-59	124	20	:	:	PUNCT
arjefm-59	124	21	2836	2836	NUM
arjefm-59	124	22	-	-	SYM
arjefm-59	124	23	9416	9416	NUM
arjefm-59	124	24	impact	impact	NOUN
arjefm-59	124	25	factor	factor	NOUN
arjefm-59	124	26	:	:	PUNCT
arjefm-59	124	27	4.85	4.85	NUM
arjefm-59	124	28	journal	journal	NOUN
arjefm-59	124	29	homepage	homepage	NOUN
arjefm-59	124	30	:	:	PUNCT
arjefm-59	124	31	https://americaserial.com/journals/index.php/arjefm	https://americaserial.com/journals/index.php/arjefm	NOUN
arjefm-59	124	32	,	,	PUNCT
arjefm-59	124	33	email	email	NOUN
arjefm-59	124	34	:	:	PUNCT
arjefm-59	125	1	contact@americaserial.com	contact@americaserial.com	PROPN
arjefm-59	125	2	official	official	ADJ
arjefm-59	125	3	journal	journal	PROPN
arjefm-59	125	4	of	of	ADP
arjefm-59	125	5	america	america	PROPN
arjefm-59	125	6	serial	serial	PROPN
arjefm-59	125	7	publication	publication	NOUN
arjefm-59	125	8	american	american	PROPN
arjefm-59	125	9	research	research	PROPN
arjefm-59	125	10	journal	journal	PROPN
arjefm-59	125	11	of	of	ADP
arjefm-59	125	12	economics	economic	NOUN
arjefm-59	125	13	,	,	PUNCT
arjefm-59	125	14	finance	finance	NOUN
arjefm-59	125	15	and	and	CCONJ
arjefm-59	125	16	management	management	NOUN
arjefm-59	125	17	https://americaserial.com/journals/index.php/arjefm	https://americaserial.com/journals/index.php/arjefm	NOUN
arjefm-59	125	18	,	,	PUNCT
arjefm-59	125	19	email	email	NOUN
arjefm-59	125	20	:	:	PUNCT
arjefm-59	125	21	contact@americaserial.com	contact@americaserial.com	X
arjefm-59	125	22	7	7	NUM
arjefm-59	126	1	|	|	ADV
arjefm-59	126	2	p	p	X
arjefm-59	126	3	a	a	DET
arjefm-59	126	4	g	g	NOUN
arjefm-59	126	5	e	e	NOUN
arjefm-59	126	6	mean	mean	NOUN
arjefm-59	126	7	0.93	0.93	NUM
arjefm-59	126	8	%	%	NOUN
arjefm-59	126	9	-8.89	-8.89	NUM
arjefm-59	126	10	%	%	NOUN
arjefm-59	126	11	0.37	0.37	NUM
arjefm-59	126	12	%	%	NOUN
arjefm-59	126	13	0.60	0.60	NUM
arjefm-59	126	14	%	%	NOUN
arjefm-59	126	15	0.45	0.45	NUM
arjefm-59	126	16	%	%	NOUN
arjefm-59	126	17	0.06	0.06	NUM
arjefm-59	126	18	%	%	NOUN
arjefm-59	126	19	10.61	10.61	NUM
arjefm-59	126	20	%	%	NOUN
arjefm-59	126	21	std	std	PROPN
arjefm-59	126	22	.	.	PUNCT
arjefm-59	127	1	dev	dev	PROPN
arjefm-59	127	2	.	.	PUNCT
arjefm-59	128	1	7.15	7.15	NUM
arjefm-59	128	2	%	%	NOUN
arjefm-59	128	3	7.42	7.42	NUM
arjefm-59	128	4	%	%	NOUN
arjefm-59	128	5	3.04	3.04	NUM
arjefm-59	128	6	%	%	NOUN
arjefm-59	128	7	4.22	4.22	NUM
arjefm-59	128	8	%	%	NOUN
arjefm-59	128	9	3.82	3.82	NUM
arjefm-59	128	10	%	%	NOUN
arjefm-59	128	11	3.27	3.27	NUM
arjefm-59	128	12	%	%	NOUN
arjefm-59	128	13	1.81	1.81	NUM
arjefm-59	128	14	%	%	NOUN
arjefm-59	128	15	t	t	NOUN
arjefm-59	128	16	-	-	PUNCT
arjefm-59	128	17	mean	mean	NOUN
arjefm-59	128	18	1.655	1.655	NUM
arjefm-59	128	19	note	note	NOUN
arjefm-59	128	20	:	:	PUNCT
arjefm-59	128	21	is	be	AUX
arjefm-59	128	22	the	the	DET
arjefm-59	128	23	average	average	ADJ
arjefm-59	128	24	stock	stock	NOUN
arjefm-59	128	25	returns	return	NOUN
arjefm-59	128	26	.	.	PUNCT
arjefm-59	129	1	rm	rm	PROPN
arjefm-59	129	2	-	-	PUNCT
arjefm-59	129	3	rfis	rfi	VERB
arjefm-59	129	4	the	the	DET
arjefm-59	129	5	market	market	NOUN
arjefm-59	129	6	factor	factor	NOUN
arjefm-59	129	7	where	where	SCONJ
arjefm-59	129	8	the	the	DET
arjefm-59	129	9	market	market	NOUN
arjefm-59	129	10	risk	risk	NOUN
arjefm-59	129	11	premium	premium	NOUN
arjefm-59	129	12	is	be	AUX
arjefm-59	129	13	the	the	DET
arjefm-59	129	14	excess	excess	NOUN
arjefm-59	129	15	of	of	ADP
arjefm-59	129	16	astri	astri	ADJ
arjefm-59	129	17	return	return	NOUN
arjefm-59	129	18	over	over	ADP
arjefm-59	129	19	risk	risk	NOUN
arjefm-59	129	20	free	free	ADJ
arjefm-59	129	21	rate	rate	NOUN
arjefm-59	129	22	of	of	ADP
arjefm-59	129	23	return	return	NOUN
arjefm-59	129	24	(	(	PUNCT
arjefm-59	129	25	i.e.	i.e.	X
arjefm-59	129	26	three	three	NUM
arjefm-59	129	27	-	-	PUNCT
arjefm-59	129	28	month	month	NOUN
arjefm-59	129	29	government	government	NOUN
arjefm-59	129	30	treasury	treasury	NOUN
arjefm-59	129	31	bill	bill	NOUN
arjefm-59	129	32	rate	rate	NOUN
arjefm-59	129	33	)	)	PUNCT
arjefm-59	129	34	.	.	PUNCT
arjefm-59	130	1	smb	smb	PROPN
arjefm-59	130	2	is	be	AUX
arjefm-59	130	3	the	the	DET
arjefm-59	130	4	monthly	monthly	ADJ
arjefm-59	130	5	size	size	NOUN
arjefm-59	130	6	factor	factor	NOUN
arjefm-59	130	7	where	where	SCONJ
arjefm-59	130	8	hml	hml	PROPN
arjefm-59	130	9	is	be	AUX
arjefm-59	130	10	the	the	DET
arjefm-59	130	11	monthly	monthly	ADJ
arjefm-59	130	12	value	value	NOUN
arjefm-59	130	13	factor	factor	NOUN
arjefm-59	130	14	.	.	PUNCT
arjefm-59	131	1	rmw	rmw	PROPN
arjefm-59	131	2	and	and	CCONJ
arjefm-59	131	3	cma	cma	PROPN
arjefm-59	131	4	are	be	AUX
arjefm-59	131	5	monthly	monthly	ADJ
arjefm-59	131	6	profitability	profitability	NOUN
arjefm-59	131	7	and	and	CCONJ
arjefm-59	131	8	investment	investment	NOUN
arjefm-59	131	9	risk	risk	NOUN
arjefm-59	131	10	factors	factor	NOUN
arjefm-59	131	11	respectively	respectively	ADV
arjefm-59	131	12	.	.	PUNCT
arjefm-59	132	1	ivol	ivol	NOUN
arjefm-59	132	2	is	be	AUX
arjefm-59	132	3	the	the	DET
arjefm-59	132	4	monthly	monthly	ADJ
arjefm-59	132	5	idiosyncratic	idiosyncratic	ADJ
arjefm-59	132	6	volatility	volatility	NOUN
arjefm-59	132	7	of	of	ADP
arjefm-59	132	8	stocks	stock	NOUN
arjefm-59	132	9	estimated	estimate	VERB
arjefm-59	132	10	through	through	ADP
arjefm-59	132	11	the	the	DET
arjefm-59	132	12	egarch	egarch	NOUN
arjefm-59	132	13	model	model	NOUN
arjefm-59	132	14	by	by	ADP
arjefm-59	132	15	using	use	VERB
arjefm-59	132	16	fama	fama	NOUN
arjefm-59	132	17	and	and	CCONJ
arjefm-59	132	18	french	french	ADJ
arjefm-59	132	19	(	(	PUNCT
arjefm-59	132	20	2015	2015	NUM
arjefm-59	132	21	)	)	PUNCT
arjefm-59	132	22	five	five	NUM
arjefm-59	132	23	-	-	PUNCT
arjefm-59	132	24	factor	factor	NOUN
arjefm-59	132	25	asset	asset	NOUN
arjefm-59	132	26	pricing	pricing	NOUN
arjefm-59	132	27	model	model	NOUN
arjefm-59	132	28	.	.	PUNCT
arjefm-59	133	1	despite	despite	SCONJ
arjefm-59	133	2	the	the	DET
arjefm-59	133	3	relative	relative	ADJ
arjefm-59	133	4	consistence	consistence	NOUN
arjefm-59	133	5	with	with	ADP
arjefm-59	133	6	previous	previous	ADJ
arjefm-59	133	7	empirical	empirical	ADJ
arjefm-59	133	8	findings	finding	NOUN
arjefm-59	133	9	on	on	ADP
arjefm-59	133	10	mean	mean	ADJ
arjefm-59	133	11	values	value	NOUN
arjefm-59	133	12	of	of	ADP
arjefm-59	133	13	popular	popular	ADJ
arjefm-59	133	14	risk	risk	NOUN
arjefm-59	133	15	factors	factor	NOUN
arjefm-59	133	16	,	,	PUNCT
arjefm-59	133	17	the	the	DET
arjefm-59	133	18	average	average	ADJ
arjefm-59	133	19	values	value	NOUN
arjefm-59	133	20	on	on	ADP
arjefm-59	133	21	profitability	profitability	NOUN
arjefm-59	133	22	(	(	PUNCT
arjefm-59	133	23	0.45	0.45	NUM
arjefm-59	133	24	percent	percent	NOUN
arjefm-59	133	25	)	)	PUNCT
arjefm-59	133	26	and	and	CCONJ
arjefm-59	133	27	investment	investment	NOUN
arjefm-59	133	28	(	(	PUNCT
arjefm-59	133	29	0.06	0.06	NUM
arjefm-59	133	30	percent	percent	NOUN
arjefm-59	133	31	)	)	PUNCT
arjefm-59	133	32	factors	factor	NOUN
arjefm-59	133	33	are	be	AUX
arjefm-59	133	34	contrasted	contrast	VERB
arjefm-59	133	35	considerably	considerably	ADV
arjefm-59	133	36	to	to	ADP
arjefm-59	133	37	that	that	PRON
arjefm-59	133	38	of	of	ADP
arjefm-59	133	39	the	the	DET
arjefm-59	133	40	previous	previous	ADJ
arjefm-59	133	41	findings	finding	NOUN
arjefm-59	133	42	.	.	PUNCT
arjefm-59	134	1	for	for	ADP
arjefm-59	134	2	instance	instance	NOUN
arjefm-59	134	3	,	,	PUNCT
arjefm-59	134	4	in	in	ADP
arjefm-59	134	5	the	the	DET
arjefm-59	134	6	united	united	PROPN
arjefm-59	134	7	states	states	PROPN
arjefm-59	134	8	,	,	PUNCT
arjefm-59	134	9	the	the	DET
arjefm-59	134	10	mean	mean	ADJ
arjefm-59	134	11	values	value	NOUN
arjefm-59	134	12	of	of	ADP
arjefm-59	134	13	profitability	profitability	NOUN
arjefm-59	134	14	and	and	CCONJ
arjefm-59	134	15	investment	investment	NOUN
arjefm-59	134	16	factors	factor	NOUN
arjefm-59	134	17	are	be	AUX
arjefm-59	134	18	found	find	VERB
arjefm-59	134	19	to	to	PART
arjefm-59	134	20	be	be	AUX
arjefm-59	134	21	0.25	0.25	NUM
arjefm-59	134	22	percent	percent	NOUN
arjefm-59	134	23	and	and	CCONJ
arjefm-59	134	24	0.33	0.33	NUM
arjefm-59	134	25	percent	percent	NOUN
arjefm-59	134	26	respectively	respectively	ADV
arjefm-59	134	27	(	(	PUNCT
arjefm-59	134	28	fama	fama	PROPN
arjefm-59	134	29	&	&	CCONJ
arjefm-59	134	30	french	french	PROPN
arjefm-59	134	31	,	,	PUNCT
arjefm-59	134	32	2015	2015	NUM
arjefm-59	134	33	)	)	PUNCT
arjefm-59	134	34	while	while	SCONJ
arjefm-59	134	35	in	in	ADP
arjefm-59	134	36	the	the	DET
arjefm-59	134	37	asian	asian	PROPN
arjefm-59	134	38	pacific	pacific	PROPN
arjefm-59	134	39	region	region	NOUN
arjefm-59	134	40	,	,	PUNCT
arjefm-59	134	41	the	the	DET
arjefm-59	134	42	mean	mean	ADJ
arjefm-59	134	43	values	value	NOUN
arjefm-59	134	44	of	of	ADP
arjefm-59	134	45	these	these	DET
arjefm-59	134	46	factors	factor	NOUN
arjefm-59	134	47	are	be	AUX
arjefm-59	134	48	found	find	VERB
arjefm-59	134	49	to	to	PART
arjefm-59	134	50	be	be	AUX
arjefm-59	134	51	0.21	0.21	NUM
arjefm-59	134	52	percent	percent	NOUN
arjefm-59	134	53	and	and	CCONJ
arjefm-59	134	54	0.39	0.39	NUM
arjefm-59	134	55	percent	percent	NOUN
arjefm-59	134	56	respectively	respectively	ADV
arjefm-59	134	57	(	(	PUNCT
arjefm-59	134	58	fama	fama	PROPN
arjefm-59	134	59	&	&	CCONJ
arjefm-59	134	60	french	french	PROPN
arjefm-59	134	61	,	,	PUNCT
arjefm-59	134	62	2017	2017	NUM
arjefm-59	134	63	)	)	PUNCT
arjefm-59	134	64	.	.	PUNCT
arjefm-59	135	1	interestingly	interestingly	ADV
arjefm-59	135	2	,	,	PUNCT
arjefm-59	135	3	the	the	DET
arjefm-59	135	4	mean	mean	ADJ
arjefm-59	135	5	value	value	NOUN
arjefm-59	135	6	of	of	ADP
arjefm-59	135	7	idiosyncratic	idiosyncratic	ADJ
arjefm-59	135	8	volatility	volatility	NOUN
arjefm-59	135	9	(	(	PUNCT
arjefm-59	135	10	10.61	10.61	NUM
arjefm-59	135	11	percent	percent	NOUN
arjefm-59	135	12	)	)	PUNCT
arjefm-59	135	13	is	be	AUX
arjefm-59	135	14	slightly	slightly	ADV
arjefm-59	135	15	closer	close	ADJ
arjefm-59	135	16	to	to	ADP
arjefm-59	135	17	the	the	DET
arjefm-59	135	18	average	average	ADJ
arjefm-59	135	19	value	value	NOUN
arjefm-59	135	20	of	of	ADP
arjefm-59	135	21	12.67	12.67	NUM
arjefm-59	135	22	percent	percent	NOUN
arjefm-59	135	23	in	in	ADP
arjefm-59	135	24	the	the	DET
arjefm-59	135	25	united	united	PROPN
arjefm-59	135	26	states	states	PROPN
arjefm-59	135	27	(	(	PUNCT
arjefm-59	135	28	fu	fu	ADJ
arjefm-59	135	29	,	,	PUNCT
arjefm-59	135	30	2009	2009	NUM
arjefm-59	135	31	)	)	PUNCT
arjefm-59	135	32	.	.	PUNCT
arjefm-59	136	1	nevertheless	nevertheless	ADV
arjefm-59	136	2	,	,	PUNCT
arjefm-59	136	3	in	in	ADP
arjefm-59	136	4	a	a	DET
arjefm-59	136	5	cross	cross	ADJ
arjefm-59	136	6	country	country	NOUN
arjefm-59	136	7	analysis	analysis	NOUN
arjefm-59	136	8	,	,	PUNCT
arjefm-59	136	9	pukthuanthong	pukthuanthong	NOUN
arjefm-59	136	10	-	-	PUNCT
arjefm-59	136	11	le	le	NOUN
arjefm-59	136	12	and	and	CCONJ
arjefm-59	136	13	visaltanachoti	visaltanachoti	PROPN
arjefm-59	136	14	(	(	PUNCT
arjefm-59	136	15	2009	2009	NUM
arjefm-59	136	16	)	)	PUNCT
arjefm-59	136	17	record	record	NOUN
arjefm-59	136	18	a	a	DET
arjefm-59	136	19	mean	mean	ADJ
arjefm-59	136	20	value	value	NOUN
arjefm-59	136	21	for	for	ADP
arjefm-59	136	22	idiosyncratic	idiosyncratic	ADJ
arjefm-59	136	23	volatility	volatility	NOUN
arjefm-59	136	24	as	as	ADV
arjefm-59	136	25	high	high	ADJ
arjefm-59	136	26	as	as	ADP
arjefm-59	136	27	15.98	15.98	NUM
arjefm-59	136	28	percent	percent	NOUN
arjefm-59	136	29	for	for	ADP
arjefm-59	136	30	sri	sri	PROPN
arjefm-59	136	31	lanka	lanka	PROPN
arjefm-59	136	32	.	.	PUNCT
arjefm-59	137	1	4.2	4.2	NUM
arjefm-59	137	2	equal	equal	ADJ
arjefm-59	137	3	-	-	PUNCT
arjefm-59	137	4	weight	weight	NOUN
arjefm-59	137	5	and	and	CCONJ
arjefm-59	137	6	value	value	NOUN
arjefm-59	137	7	-	-	PUNCT
arjefm-59	137	8	weight	weight	NOUN
arjefm-59	137	9	portfolio	portfolio	NOUN
arjefm-59	137	10	return	return	VERB
arjefm-59	137	11	analysis	analysis	NOUN
arjefm-59	137	12	table	table	NOUN
arjefm-59	137	13	3	3	NUM
arjefm-59	137	14	shows	show	VERB
arjefm-59	137	15	the	the	DET
arjefm-59	137	16	results	result	NOUN
arjefm-59	137	17	of	of	ADP
arjefm-59	137	18	portfolio	portfolio	NOUN
arjefm-59	137	19	return	return	VERB
arjefm-59	137	20	analysis	analysis	NOUN
arjefm-59	137	21	where	where	SCONJ
arjefm-59	137	22	the	the	DET
arjefm-59	137	23	panel	panel	NOUN
arjefm-59	137	24	a	a	DET
arjefm-59	137	25	shows	show	VERB
arjefm-59	137	26	the	the	DET
arjefm-59	137	27	equal	equal	ADJ
arjefm-59	137	28	-	-	PUNCT
arjefm-59	137	29	weight	weight	NOUN
arjefm-59	137	30	average	average	ADJ
arjefm-59	137	31	portfolio	portfolio	NOUN
arjefm-59	137	32	returns	return	NOUN
arjefm-59	137	33	while	while	SCONJ
arjefm-59	137	34	panel	panel	NOUN
arjefm-59	137	35	b	b	PROPN
arjefm-59	137	36	shows	show	VERB
arjefm-59	137	37	the	the	DET
arjefm-59	137	38	value	value	NOUN
arjefm-59	137	39	-	-	PUNCT
arjefm-59	137	40	weight	weight	NOUN
arjefm-59	137	41	average	average	NOUN
arjefm-59	137	42	portfolio	portfolio	NOUN
arjefm-59	137	43	returns.accordingly	returns.accordingly	ADV
arjefm-59	137	44	,	,	PUNCT
arjefm-59	137	45	some	some	DET
arjefm-59	137	46	interesting	interesting	ADJ
arjefm-59	137	47	empirical	empirical	ADJ
arjefm-59	137	48	findings	finding	NOUN
arjefm-59	137	49	can	can	AUX
arjefm-59	137	50	be	be	AUX
arjefm-59	137	51	observed	observe	VERB
arjefm-59	137	52	with	with	ADP
arjefm-59	137	53	respect	respect	NOUN
arjefm-59	137	54	to	to	ADP
arjefm-59	137	55	idiosyncratic	idiosyncratic	ADJ
arjefm-59	137	56	volatility	volatility	NOUN
arjefm-59	137	57	of	of	ADP
arjefm-59	137	58	stocks	stock	NOUN
arjefm-59	137	59	.	.	PUNCT
arjefm-59	138	1	the	the	DET
arjefm-59	138	2	empirical	empirical	ADJ
arjefm-59	138	3	results	result	NOUN
arjefm-59	138	4	in	in	ADP
arjefm-59	138	5	panel	panel	NOUN
arjefm-59	138	6	a	a	DET
arjefm-59	138	7	depict	depict	NOUN
arjefm-59	138	8	that	that	DET
arjefm-59	138	9	portfolio	portfolio	NOUN
arjefm-59	138	10	5	5	NUM
arjefm-59	138	11	(	(	PUNCT
arjefm-59	138	12	stocks	stock	NOUN
arjefm-59	138	13	with	with	ADP
arjefm-59	138	14	highest	high	ADJ
arjefm-59	138	15	idiosyncratic	idiosyncratic	ADJ
arjefm-59	138	16	volatility	volatility	NOUN
arjefm-59	138	17	)	)	PUNCT
arjefm-59	138	18	has	have	AUX
arjefm-59	138	19	generated	generate	VERB
arjefm-59	138	20	substantially	substantially	ADV
arjefm-59	138	21	higher	high	ADJ
arjefm-59	138	22	average	average	ADJ
arjefm-59	138	23	return	return	NOUN
arjefm-59	138	24	(	(	PUNCT
arjefm-59	138	25	1.90	1.90	NUM
arjefm-59	138	26	percent	percent	NOUN
arjefm-59	138	27	)	)	PUNCT
arjefm-59	138	28	compared	compare	VERB
arjefm-59	138	29	to	to	ADP
arjefm-59	138	30	the	the	DET
arjefm-59	138	31	average	average	ADJ
arjefm-59	138	32	return	return	NOUN
arjefm-59	138	33	of	of	ADP
arjefm-59	138	34	portfolio	portfolio	NOUN
arjefm-59	138	35	1	1	NUM
arjefm-59	138	36	(	(	PUNCT
arjefm-59	138	37	lowest	low	ADJ
arjefm-59	138	38	idiosyncratic	idiosyncratic	ADJ
arjefm-59	138	39	volatility)(0.14	volatility)(0.14	NUM
arjefm-59	138	40	percent	percent	NOUN
arjefm-59	138	41	)	)	PUNCT
arjefm-59	138	42	.	.	PUNCT
arjefm-59	139	1	further	far	ADV
arjefm-59	139	2	,	,	PUNCT
arjefm-59	139	3	the	the	DET
arjefm-59	139	4	average	average	ADJ
arjefm-59	139	5	return	return	NOUN
arjefm-59	139	6	differential	differential	NOUN
arjefm-59	139	7	of	of	ADP
arjefm-59	139	8	1.76	1.76	NUM
arjefm-59	139	9	percent	percent	NOUN
arjefm-59	139	10	between	between	ADP
arjefm-59	139	11	portfolio	portfolio	NOUN
arjefm-59	139	12	5	5	NUM
arjefm-59	139	13	and	and	CCONJ
arjefm-59	139	14	portfolio	portfolio	NOUN
arjefm-59	139	15	1	1	NUM
arjefm-59	139	16	is	be	AUX
arjefm-59	139	17	found	find	VERB
arjefm-59	139	18	to	to	PART
arjefm-59	139	19	be	be	AUX
arjefm-59	139	20	highly	highly	ADV
arjefm-59	139	21	statistically	statistically	ADV
arjefm-59	139	22	significant	significant	ADJ
arjefm-59	139	23	.	.	PUNCT
arjefm-59	140	1	hence	hence	ADV
arjefm-59	140	2	,	,	PUNCT
arjefm-59	140	3	this	this	PRON
arjefm-59	140	4	confirms	confirm	VERB
arjefm-59	140	5	the	the	DET
arjefm-59	140	6	existence	existence	NOUN
arjefm-59	140	7	of	of	ADP
arjefm-59	140	8	idiosyncratic	idiosyncratic	ADJ
arjefm-59	140	9	volatility	volatility	NOUN
arjefm-59	140	10	in	in	ADP
arjefm-59	140	11	the	the	DET
arjefm-59	140	12	sri	sri	PROPN
arjefm-59	140	13	lankan	lankan	PROPN
arjefm-59	140	14	context	context	NOUN
arjefm-59	140	15	and	and	CCONJ
arjefm-59	140	16	it	it	PRON
arjefm-59	140	17	is	be	AUX
arjefm-59	140	18	statistically	statistically	ADV
arjefm-59	140	19	significant	significant	ADJ
arjefm-59	140	20	and	and	CCONJ
arjefm-59	140	21	positively	positively	ADV
arjefm-59	140	22	related	relate	VERB
arjefm-59	140	23	with	with	ADP
arjefm-59	140	24	the	the	DET
arjefm-59	140	25	average	average	ADJ
arjefm-59	140	26	stock	stock	NOUN
arjefm-59	140	27	returns	return	NOUN
arjefm-59	140	28	.	.	PUNCT
arjefm-59	141	1	market	market	NOUN
arjefm-59	141	2	share	share	VERB
arjefm-59	141	3	29.04	29.04	NUM
arjefm-59	141	4	%	%	NOUN
arjefm-59	141	5	20.90	20.90	NUM
arjefm-59	141	6	%	%	NOUN
arjefm-59	141	7	17.29	17.29	NUM
arjefm-59	141	8	%	%	NOUN
arjefm-59	141	9	16.82	16.82	NUM
arjefm-59	141	10	%	%	NOUN
arjefm-59	141	11	15.94	15.94	NUM
arjefm-59	141	12	%	%	NOUN
arjefm-59	141	13	profitability	profitability	NOUN
arjefm-59	141	14	11.32	11.32	NUM
arjefm-59	141	15	%	%	NOUN
arjefm-59	141	16	9.30	9.30	NUM
arjefm-59	141	17	%	%	NOUN
arjefm-59	141	18	7.24	7.24	NUM
arjefm-59	141	19	%	%	NOUN
arjefm-59	141	20	3.05	3.05	NUM
arjefm-59	141	21	%	%	NOUN
arjefm-59	141	22	-0.09	-0.09	NUM
arjefm-59	141	23	%	%	NOUN
arjefm-59	141	24	investment	investment	NOUN
arjefm-59	141	25	133.71	133.71	NUM
arjefm-59	141	26	%	%	NOUN
arjefm-59	141	27	46.73	46.73	NUM
arjefm-59	141	28	%	%	NOUN
arjefm-59	141	29	61.34	61.34	NUM
arjefm-59	141	30	%	%	NOUN
arjefm-59	141	31	86.79	86.79	NUM
arjefm-59	141	32	%	%	NOUN
arjefm-59	141	33	31.56	31.56	NUM
arjefm-59	141	34	%	%	NOUN
arjefm-59	141	35	15.233	15.233	NUM
arjefm-59	141	36	1.542	1.542	NUM
arjefm-59	141	37	1.798	1.798	NUM
arjefm-59	141	38	1.506	1.506	NUM
arjefm-59	141	39	0.241	0.241	NUM
arjefm-59	141	40	74.758	74.758	NUM
arjefm-59	141	41	table	table	NOUN
arjefm-59	141	42	3	3	NUM
arjefm-59	141	43	:	:	PUNCT
arjefm-59	141	44	idiosyncratic	idiosyncratic	ADJ
arjefm-59	141	45	volatility	volatility	NOUN
arjefm-59	141	46	(	(	PUNCT
arjefm-59	141	47	ivol	ivol	NOUN
arjefm-59	141	48	sorted	sort	VERB
arjefm-59	141	49	portfolios	portfolio	NOUN
arjefm-59	141	50	)	)	PUNCT
arjefm-59	141	51	panel	panel	NOUN
arjefm-59	141	52	a	a	PRON
arjefm-59	141	53	:	:	PUNCT
arjefm-59	141	54	equal	equal	ADJ
arjefm-59	141	55	weight	weight	NOUN
arjefm-59	141	56	average	average	ADJ
arjefm-59	141	57	returns	return	NOUN
arjefm-59	141	58	portfolios	portfolio	NOUN
arjefm-59	141	59	formed	form	VERB
arjefm-59	141	60	on	on	ADP
arjefm-59	141	61	ivol	ivol	NOUN
arjefm-59	141	62	)	)	PUNCT
arjefm-59	141	63	(	(	PUNCT
arjefm-59	141	64	low	low	ADJ
arjefm-59	141	65	1	1	NUM
arjefm-59	141	66	2	2	NUM
arjefm-59	141	67	3	3	NUM
arjefm-59	141	68	4	4	NUM
arjefm-59	141	69	5	5	NUM
arjefm-59	141	70	(	(	PUNCT
arjefm-59	141	71	high	high	ADJ
arjefm-59	141	72	)	)	PUNCT
arjefm-59	141	73	(	(	PUNCT
arjefm-59	141	74	5	5	NUM
arjefm-59	141	75	1	1	NUM
arjefm-59	141	76	)	)	PUNCT
arjefm-59	141	77	𝑅	𝑅	NOUN
arjefm-59	141	78	%	%	NOUN
arjefm-59	141	79	0.14	0.14	NUM
arjefm-59	141	80	%	%	NOUN
arjefm-59	141	81	0.16	0.16	NUM
arjefm-59	141	82	0.42	0.42	NUM
arjefm-59	141	83	%	%	NOUN
arjefm-59	141	84	0.94	0.94	NUM
arjefm-59	141	85	%	%	NOUN
arjefm-59	141	86	1.90	1.90	NUM
arjefm-59	141	87	%	%	NOUN
arjefm-59	141	88	*	*	PUNCT
arjefm-59	142	1	*	*	PROPN
arjefm-59	142	2	1.76	1.76	NUM
arjefm-59	142	3	%	%	NOUN
arjefm-59	142	4	*	*	PUNCT
arjefm-59	142	5	(	(	PUNCT
arjefm-59	142	6	0.0014	0.0014	NUM
arjefm-59	142	7	)	)	PUNCT
arjefm-59	142	8	(	(	PUNCT
arjefm-59	142	9	0.0016	0.0016	NUM
arjefm-59	142	10	)	)	PUNCT
arjefm-59	142	11	(	(	PUNCT
arjefm-59	142	12	0.0042	0.0042	NUM
arjefm-59	142	13	)	)	PUNCT
arjefm-59	142	14	(	(	PUNCT
arjefm-59	142	15	1.3530	1.3530	NUM
arjefm-59	142	16	)	)	PUNCT
arjefm-59	142	17	(	(	PUNCT
arjefm-59	142	18	2.0308	2.0308	NUM
arjefm-59	142	19	)	)	PUNCT
arjefm-59	142	20	(	(	PUNCT
arjefm-59	142	21	2.9720	2.9720	NUM
arjefm-59	142	22	)	)	PUNCT
arjefm-59	142	23	mailto:contact@americaserial.com	mailto:contact@americaserial.com	NOUN
arjefm-59	142	24	mailto:contact@americaserial.com	mailto:contact@americaserial.com	PROPN
arjefm-59	143	1	american	american	PROPN
arjefm-59	143	2	research	research	PROPN
arjefm-59	143	3	journal	journal	PROPN
arjefm-59	143	4	of	of	ADP
arjefm-59	143	5	economics	economic	NOUN
arjefm-59	143	6	,	,	PUNCT
arjefm-59	143	7	finance	finance	NOUN
arjefm-59	143	8	and	and	CCONJ
arjefm-59	143	9	management	management	NOUN
arjefm-59	143	10	volume	volume	NOUN
arjefm-59	143	11	10	10	NUM
arjefm-59	143	12	issue	issue	NOUN
arjefm-59	143	13	1	1	NUM
arjefm-59	143	14	,	,	PUNCT
arjefm-59	143	15	january	january	PROPN
arjefm-59	143	16	-	-	PUNCT
arjefm-59	143	17	march	march	PROPN
arjefm-59	143	18	2022	2022	NUM
arjefm-59	143	19	issn	issn	NOUN
arjefm-59	143	20	:	:	PUNCT
arjefm-59	143	21	2836	2836	NUM
arjefm-59	143	22	-	-	SYM
arjefm-59	143	23	9416	9416	NUM
arjefm-59	143	24	impact	impact	NOUN
arjefm-59	143	25	factor	factor	NOUN
arjefm-59	143	26	:	:	PUNCT
arjefm-59	143	27	4.85	4.85	NUM
arjefm-59	143	28	journal	journal	NOUN
arjefm-59	143	29	homepage	homepage	NOUN
arjefm-59	143	30	:	:	PUNCT
arjefm-59	143	31	https://americaserial.com/journals/index.php/arjefm	https://americaserial.com/journals/index.php/arjefm	NOUN
arjefm-59	143	32	,	,	PUNCT
arjefm-59	143	33	email	email	NOUN
arjefm-59	143	34	:	:	PUNCT
arjefm-59	144	1	contact@americaserial.com	contact@americaserial.com	PROPN
arjefm-59	144	2	official	official	ADJ
arjefm-59	144	3	journal	journal	PROPN
arjefm-59	144	4	of	of	ADP
arjefm-59	144	5	america	america	PROPN
arjefm-59	144	6	serial	serial	PROPN
arjefm-59	144	7	publication	publication	NOUN
arjefm-59	144	8	american	american	PROPN
arjefm-59	144	9	research	research	PROPN
arjefm-59	144	10	journal	journal	PROPN
arjefm-59	144	11	of	of	ADP
arjefm-59	144	12	economics	economic	NOUN
arjefm-59	144	13	,	,	PUNCT
arjefm-59	144	14	finance	finance	NOUN
arjefm-59	144	15	and	and	CCONJ
arjefm-59	144	16	management	management	NOUN
arjefm-59	144	17	https://americaserial.com/journals/index.php/arjefm	https://americaserial.com/journals/index.php/arjefm	NOUN
arjefm-59	144	18	,	,	PUNCT
arjefm-59	144	19	email	email	NOUN
arjefm-59	144	20	:	:	PUNCT
arjefm-59	144	21	contact@americaserial.com	contact@americaserial.com	X
arjefm-59	144	22	8	8	NUM
arjefm-59	145	1	|	|	ADV
arjefm-59	145	2	p	p	X
arjefm-59	145	3	a	a	DET
arjefm-59	145	4	g	g	NOUN
arjefm-59	145	5	e	e	PROPN
arjefm-59	145	6	𝑅	𝑅	PROPN
arjefm-59	145	7	profitability	profitability	NOUN
arjefm-59	145	8	11.32	11.32	NUM
arjefm-59	145	9	%	%	NOUN
arjefm-59	145	10	9.30	9.30	NUM
arjefm-59	145	11	%	%	NOUN
arjefm-59	145	12	7.24	7.24	NUM
arjefm-59	145	13	%	%	NOUN
arjefm-59	145	14	3.05	3.05	NUM
arjefm-59	145	15	%	%	NOUN
arjefm-59	145	16	-0.09	-0.09	NUM
arjefm-59	145	17	%	%	NOUN
arjefm-59	145	18	investment	investment	NOUN
arjefm-59	145	19	133.71	133.71	NUM
arjefm-59	145	20	%	%	NOUN
arjefm-59	145	21	46.73	46.73	NUM
arjefm-59	145	22	%	%	NOUN
arjefm-59	145	23	61.34	61.34	NUM
arjefm-59	145	24	%	%	NOUN
arjefm-59	145	25	86.79	86.79	NUM
arjefm-59	145	26	%	%	NOUN
arjefm-59	145	27	31.56	31.56	NUM
arjefm-59	145	28	%	%	NOUN
arjefm-59	145	29	note	note	NOUN
arjefm-59	145	30	:	:	PUNCT
arjefm-59	145	31	is	be	AUX
arjefm-59	145	32	the	the	DET
arjefm-59	145	33	average	average	ADJ
arjefm-59	145	34	stock	stock	NOUN
arjefm-59	145	35	returns	return	NOUN
arjefm-59	145	36	.	.	PUNCT
arjefm-59	146	1	the	the	DET
arjefm-59	146	2	market	market	NOUN
arjefm-59	146	3	share	share	NOUN
arjefm-59	146	4	of	of	ADP
arjefm-59	146	5	each	each	DET
arjefm-59	146	6	ivol	ivol	NOUN
arjefm-59	146	7	sorted	sort	VERB
arjefm-59	146	8	portfolio	portfolio	NOUN
arjefm-59	146	9	is	be	AUX
arjefm-59	146	10	calculated	calculate	VERB
arjefm-59	146	11	by	by	ADP
arjefm-59	146	12	using	use	VERB
arjefm-59	146	13	the	the	DET
arjefm-59	146	14	market	market	NOUN
arjefm-59	146	15	capitalisation	capitalisation	NOUN
arjefm-59	146	16	of	of	ADP
arjefm-59	146	17	each	each	DET
arjefm-59	146	18	ivol	ivol	NOUN
arjefm-59	146	19	portfolio	portfolio	NOUN
arjefm-59	146	20	as	as	ADP
arjefm-59	146	21	a	a	DET
arjefm-59	146	22	percentage	percentage	NOUN
arjefm-59	146	23	of	of	ADP
arjefm-59	146	24	the	the	DET
arjefm-59	146	25	total	total	ADJ
arjefm-59	146	26	market	market	NOUN
arjefm-59	146	27	capitalisation	capitalisation	NOUN
arjefm-59	146	28	of	of	ADP
arjefm-59	146	29	all	all	DET
arjefm-59	146	30	ivol	ivol	NOUN
arjefm-59	146	31	sorted	sort	VERB
arjefm-59	146	32	portfolios	portfolio	NOUN
arjefm-59	146	33	.	.	PUNCT
arjefm-59	147	1	profitability	profitability	NOUN
arjefm-59	147	2	is	be	AUX
arjefm-59	147	3	the	the	DET
arjefm-59	147	4	average	average	NOUN
arjefm-59	147	5	of	of	ADP
arjefm-59	147	6	the	the	DET
arjefm-59	147	7	net	net	ADJ
arjefm-59	147	8	profit	profit	NOUN
arjefm-59	147	9	-	-	PUNCT
arjefm-59	147	10	to	to	ADP
arjefm-59	147	11	-	-	PUNCT
arjefm-59	147	12	book	book	NOUN
arjefm-59	147	13	equity	equity	NOUN
arjefm-59	147	14	ratio	ratio	NOUN
arjefm-59	147	15	of	of	ADP
arjefm-59	147	16	each	each	DET
arjefm-59	147	17	ivol	ivol	NOUN
arjefm-59	147	18	sorted	sort	VERB
arjefm-59	147	19	portfolio	portfolio	NOUN
arjefm-59	147	20	.	.	PUNCT
arjefm-59	148	1	investment	investment	NOUN
arjefm-59	148	2	is	be	AUX
arjefm-59	148	3	the	the	DET
arjefm-59	148	4	average	average	NOUN
arjefm-59	148	5	of	of	ADP
arjefm-59	148	6	the	the	DET
arjefm-59	148	7	growth	growth	NOUN
arjefm-59	148	8	of	of	ADP
arjefm-59	148	9	total	total	ADJ
arjefm-59	148	10	assets	asset	NOUN
arjefm-59	148	11	of	of	ADP
arjefm-59	148	12	each	each	DET
arjefm-59	148	13	ivol	ivol	NOUN
arjefm-59	148	14	sorted	sort	VERB
arjefm-59	148	15	portfolio	portfolio	NOUN
arjefm-59	148	16	.	.	PUNCT
arjefm-59	149	1	newey	newey	PROPN
arjefm-59	149	2	-	-	PUNCT
arjefm-59	149	3	west	west	PROPN
arjefm-59	149	4	(	(	PUNCT
arjefm-59	149	5	1987	1987	NUM
arjefm-59	149	6	)	)	PUNCT
arjefm-59	149	7	adjusted	adjust	VERB
arjefm-59	149	8	t	t	PROPN
arjefm-59	149	9	-	-	PUNCT
arjefm-59	149	10	statistics	statistic	NOUN
arjefm-59	149	11	are	be	AUX
arjefm-59	149	12	reported	report	VERB
arjefm-59	149	13	in	in	ADP
arjefm-59	149	14	parentheses	parenthesis	NOUN
arjefm-59	149	15	.	.	PUNCT
arjefm-59	150	1	*	*	PUNCT
arjefm-59	151	1	and	and	CCONJ
arjefm-59	151	2	*	*	PUNCT
arjefm-59	151	3	*	*	NOUN
arjefm-59	151	4	indicate	indicate	VERB
arjefm-59	151	5	1	1	NUM
arjefm-59	151	6	percent	percent	NOUN
arjefm-59	151	7	and	and	CCONJ
arjefm-59	151	8	5	5	NUM
arjefm-59	151	9	percent	percent	NOUN
arjefm-59	151	10	significance	significance	NOUN
arjefm-59	151	11	levels	level	NOUN
arjefm-59	151	12	respectively	respectively	ADV
arjefm-59	151	13	.	.	PUNCT
arjefm-59	152	1	interestingly	interestingly	ADV
arjefm-59	152	2	,	,	PUNCT
arjefm-59	152	3	the	the	DET
arjefm-59	152	4	empirical	empirical	ADJ
arjefm-59	152	5	results	result	NOUN
arjefm-59	152	6	of	of	ADP
arjefm-59	152	7	the	the	DET
arjefm-59	152	8	value	value	NOUN
arjefm-59	152	9	-	-	PUNCT
arjefm-59	152	10	weight	weight	NOUN
arjefm-59	152	11	average	average	ADJ
arjefm-59	152	12	returns	return	NOUN
arjefm-59	152	13	in	in	ADP
arjefm-59	152	14	panel	panel	NOUN
arjefm-59	152	15	b	b	PROPN
arjefm-59	152	16	of	of	ADP
arjefm-59	152	17	table	table	NOUN
arjefm-59	152	18	3	3	NUM
arjefm-59	152	19	present	present	VERB
arjefm-59	152	20	a	a	DET
arjefm-59	152	21	contradictory	contradictory	ADJ
arjefm-59	152	22	argument	argument	NOUN
arjefm-59	152	23	for	for	ADP
arjefm-59	152	24	the	the	DET
arjefm-59	152	25	positive	positive	ADJ
arjefm-59	152	26	relation	relation	NOUN
arjefm-59	152	27	between	between	ADP
arjefm-59	152	28	average	average	ADJ
arjefm-59	152	29	stock	stock	NOUN
arjefm-59	152	30	returns	return	NOUN
arjefm-59	152	31	and	and	CCONJ
arjefm-59	152	32	idiosyncratic	idiosyncratic	ADJ
arjefm-59	152	33	volatility	volatility	NOUN
arjefm-59	152	34	.	.	PUNCT
arjefm-59	153	1	the	the	DET
arjefm-59	153	2	empirical	empirical	ADJ
arjefm-59	153	3	results	result	NOUN
arjefm-59	153	4	depict	depict	VERB
arjefm-59	153	5	that	that	DET
arjefm-59	153	6	portfolio	portfolio	NOUN
arjefm-59	153	7	5	5	NUM
arjefm-59	153	8	(	(	PUNCT
arjefm-59	153	9	stocks	stock	NOUN
arjefm-59	153	10	with	with	ADP
arjefm-59	153	11	highest	high	ADJ
arjefm-59	153	12	idiosyncratic	idiosyncratic	ADJ
arjefm-59	153	13	volatility	volatility	NOUN
arjefm-59	153	14	)	)	PUNCT
arjefm-59	153	15	has	have	AUX
arjefm-59	153	16	generated	generate	VERB
arjefm-59	153	17	substantially	substantially	ADV
arjefm-59	153	18	lower	low	ADJ
arjefm-59	153	19	average	average	ADJ
arjefm-59	153	20	return	return	NOUN
arjefm-59	153	21	(	(	PUNCT
arjefm-59	153	22	-0.24	-0.24	NUM
arjefm-59	153	23	percent	percent	NOUN
arjefm-59	153	24	)	)	PUNCT
arjefm-59	153	25	compared	compare	VERB
arjefm-59	153	26	to	to	ADP
arjefm-59	153	27	the	the	DET
arjefm-59	153	28	average	average	ADJ
arjefm-59	153	29	return	return	NOUN
arjefm-59	153	30	of	of	ADP
arjefm-59	153	31	portfolio	portfolio	NOUN
arjefm-59	153	32	1	1	NUM
arjefm-59	153	33	(	(	PUNCT
arjefm-59	153	34	lowest	low	ADJ
arjefm-59	153	35	idiosyncratic	idiosyncratic	ADJ
arjefm-59	153	36	volatility	volatility	NOUN
arjefm-59	153	37	)	)	PUNCT
arjefm-59	153	38	(	(	PUNCT
arjefm-59	153	39	0.07	0.07	NUM
arjefm-59	153	40	percent	percent	NOUN
arjefm-59	153	41	)	)	PUNCT
arjefm-59	153	42	.	.	PUNCT
arjefm-59	154	1	moreover	moreover	ADV
arjefm-59	154	2	,	,	PUNCT
arjefm-59	154	3	the	the	DET
arjefm-59	154	4	difference	difference	NOUN
arjefm-59	154	5	of	of	ADP
arjefm-59	154	6	value	value	NOUN
arjefm-59	154	7	-	-	PUNCT
arjefm-59	154	8	weight	weight	NOUN
arjefm-59	154	9	average	average	ADJ
arjefm-59	154	10	returns	return	NOUN
arjefm-59	154	11	of	of	ADP
arjefm-59	154	12	portfolio	portfolio	NOUN
arjefm-59	154	13	5	5	NUM
arjefm-59	154	14	and	and	CCONJ
arjefm-59	154	15	portfolio	portfolio	NOUN
arjefm-59	154	16	1	1	NUM
arjefm-59	154	17	is	be	AUX
arjefm-59	154	18	0.30	0.30	NUM
arjefm-59	154	19	percent	percent	NOUN
arjefm-59	154	20	with	with	ADP
arjefm-59	154	21	a	a	DET
arjefm-59	154	22	t	t	NOUN
arjefm-59	154	23	statistic	statistic	NOUN
arjefm-59	154	24	of	of	ADP
arjefm-59	154	25	-1.2576	-1.2576	PROPN
arjefm-59	154	26	.	.	PUNCT
arjefm-59	155	1	however	however	ADV
arjefm-59	155	2	,	,	PUNCT
arjefm-59	155	3	this	this	DET
arjefm-59	155	4	average	average	ADJ
arjefm-59	155	5	return	return	NOUN
arjefm-59	155	6	differential	differential	NOUN
arjefm-59	155	7	is	be	AUX
arjefm-59	155	8	found	find	VERB
arjefm-59	155	9	to	to	PART
arjefm-59	155	10	be	be	AUX
arjefm-59	155	11	economically	economically	ADV
arjefm-59	155	12	and	and	CCONJ
arjefm-59	155	13	statistically	statistically	ADV
arjefm-59	155	14	insignificant	insignificant	ADJ
arjefm-59	155	15	.	.	PUNCT
arjefm-59	156	1	additional	additional	ADJ
arjefm-59	156	2	to	to	ADP
arjefm-59	156	3	the	the	DET
arjefm-59	156	4	above	above	ADJ
arjefm-59	156	5	empirical	empirical	ADJ
arjefm-59	156	6	findings	finding	NOUN
arjefm-59	156	7	,	,	PUNCT
arjefm-59	156	8	table	table	NOUN
arjefm-59	156	9	3	3	NUM
arjefm-59	156	10	demonstrates	demonstrate	VERB
arjefm-59	156	11	more	more	ADV
arjefm-59	156	12	striking	striking	ADJ
arjefm-59	156	13	evidence	evidence	NOUN
arjefm-59	156	14	on	on	ADP
arjefm-59	156	15	idiosyncratic	idiosyncratic	ADJ
arjefm-59	156	16	volatility	volatility	NOUN
arjefm-59	156	17	of	of	ADP
arjefm-59	156	18	stocks	stock	NOUN
arjefm-59	156	19	.	.	PUNCT
arjefm-59	157	1	the	the	DET
arjefm-59	157	2	results	result	NOUN
arjefm-59	157	3	depict	depict	VERB
arjefm-59	157	4	that	that	SCONJ
arjefm-59	157	5	stocks	stock	NOUN
arjefm-59	157	6	with	with	ADP
arjefm-59	157	7	highest	high	ADJ
arjefm-59	157	8	idiosyncratic	idiosyncratic	ADJ
arjefm-59	157	9	volatility	volatility	NOUN
arjefm-59	157	10	have	have	VERB
arjefm-59	157	11	the	the	DET
arjefm-59	157	12	lowest	low	ADJ
arjefm-59	157	13	market	market	NOUN
arjefm-59	157	14	share	share	NOUN
arjefm-59	157	15	of	of	ADP
arjefm-59	157	16	15.94	15.94	NUM
arjefm-59	157	17	percent	percent	NOUN
arjefm-59	157	18	compared	compare	VERB
arjefm-59	157	19	to	to	ADP
arjefm-59	157	20	the	the	DET
arjefm-59	157	21	stocks	stock	NOUN
arjefm-59	157	22	with	with	ADP
arjefm-59	157	23	lowest	low	ADJ
arjefm-59	157	24	idiosyncratic	idiosyncratic	ADJ
arjefm-59	157	25	volatility	volatility	NOUN
arjefm-59	157	26	(	(	PUNCT
arjefm-59	157	27	29.04	29.04	NUM
arjefm-59	157	28	percent	percent	NOUN
arjefm-59	157	29	)	)	PUNCT
arjefm-59	157	30	.	.	PUNCT
arjefm-59	158	1	this	this	PRON
arjefm-59	158	2	indicates	indicate	VERB
arjefm-59	158	3	that	that	SCONJ
arjefm-59	158	4	the	the	DET
arjefm-59	158	5	stocks	stock	NOUN
arjefm-59	158	6	with	with	ADP
arjefm-59	158	7	high	high	ADJ
arjefm-59	158	8	idiosyncratic	idiosyncratic	ADJ
arjefm-59	158	9	volatility	volatility	NOUN
arjefm-59	158	10	tend	tend	VERB
arjefm-59	158	11	to	to	PART
arjefm-59	158	12	be	be	AUX
arjefm-59	158	13	small	small	ADJ
arjefm-59	158	14	in	in	ADP
arjefm-59	158	15	the	the	DET
arjefm-59	158	16	cse	cse	NOUN
arjefm-59	158	17	.	.	PUNCT
arjefm-59	159	1	in	in	ADP
arjefm-59	159	2	fact	fact	NOUN
arjefm-59	159	3	,	,	PUNCT
arjefm-59	159	4	this	this	DET
arjefm-59	159	5	empirical	empirical	ADJ
arjefm-59	159	6	finding	finding	NOUN
arjefm-59	159	7	is	be	AUX
arjefm-59	159	8	consistent	consistent	ADJ
arjefm-59	159	9	with	with	ADP
arjefm-59	159	10	the	the	DET
arjefm-59	159	11	previous	previous	ADJ
arjefm-59	159	12	studies	study	NOUN
arjefm-59	159	13	where	where	SCONJ
arjefm-59	159	14	hou	hou	PROPN
arjefm-59	159	15	and	and	CCONJ
arjefm-59	159	16	moskowitz	moskowitz	PROPN
arjefm-59	159	17	(	(	PUNCT
arjefm-59	159	18	2005	2005	NUM
arjefm-59	159	19	)	)	PUNCT
arjefm-59	159	20	,	,	PUNCT
arjefm-59	159	21	ang	ang	INTJ
arjefm-59	159	22	et	et	PROPN
arjefm-59	159	23	al	al	PROPN
arjefm-59	159	24	.	.	PROPN
arjefm-59	160	1	(	(	PUNCT
arjefm-59	160	2	2006	2006	NUM
arjefm-59	160	3	)	)	PUNCT
arjefm-59	160	4	,	,	PUNCT
arjefm-59	160	5	bali	bali	NOUN
arjefm-59	160	6	and	and	CCONJ
arjefm-59	160	7	cakici	cakici	PROPN
arjefm-59	160	8	(	(	PUNCT
arjefm-59	160	9	2008	2008	NUM
arjefm-59	160	10	)	)	PUNCT
arjefm-59	160	11	and	and	CCONJ
arjefm-59	160	12	fu	fu	NOUN
arjefm-59	160	13	(	(	PUNCT
arjefm-59	160	14	2009	2009	NUM
arjefm-59	160	15	)	)	PUNCT
arjefm-59	160	16	also	also	ADV
arjefm-59	160	17	note	note	VERB
arjefm-59	160	18	that	that	SCONJ
arjefm-59	160	19	idiosyncratic	idiosyncratic	ADJ
arjefm-59	160	20	volatility	volatility	NOUN
arjefm-59	160	21	is	be	AUX
arjefm-59	160	22	high	high	ADJ
arjefm-59	160	23	with	with	ADP
arjefm-59	160	24	small	small	ADJ
arjefm-59	160	25	stocks	stock	NOUN
arjefm-59	160	26	.	.	PUNCT
arjefm-59	161	1	moreover	moreover	ADV
arjefm-59	161	2	,	,	PUNCT
arjefm-59	161	3	the	the	DET
arjefm-59	161	4	empirical	empirical	ADJ
arjefm-59	161	5	findings	finding	NOUN
arjefm-59	161	6	on	on	ADP
arjefm-59	161	7	profitability	profitability	NOUN
arjefm-59	161	8	and	and	CCONJ
arjefm-59	161	9	investment	investment	NOUN
arjefm-59	161	10	yield	yield	NOUN
arjefm-59	161	11	novel	novel	ADJ
arjefm-59	161	12	evidence	evidence	NOUN
arjefm-59	161	13	in	in	ADP
arjefm-59	161	14	relation	relation	NOUN
arjefm-59	161	15	to	to	ADP
arjefm-59	161	16	the	the	DET
arjefm-59	161	17	idiosyncratic	idiosyncratic	ADJ
arjefm-59	161	18	volatility	volatility	NOUN
arjefm-59	161	19	.	.	PUNCT
arjefm-59	162	1	the	the	DET
arjefm-59	162	2	empirical	empirical	ADJ
arjefm-59	162	3	evidence	evidence	NOUN
arjefm-59	162	4	in	in	ADP
arjefm-59	162	5	table	table	NOUN
arjefm-59	162	6	3	3	NUM
arjefm-59	162	7	shows	show	VERB
arjefm-59	162	8	that	that	SCONJ
arjefm-59	162	9	profitability	profitability	NOUN
arjefm-59	162	10	of	of	ADP
arjefm-59	162	11	the	the	DET
arjefm-59	162	12	idiosyncratic	idiosyncratic	ADJ
arjefm-59	162	13	volatility	volatility	NOUN
arjefm-59	162	14	sorted	sort	VERB
arjefm-59	162	15	portfolios	portfolio	NOUN
arjefm-59	162	16	has	have	AUX
arjefm-59	162	17	drastically	drastically	ADV
arjefm-59	162	18	declined	decline	VERB
arjefm-59	162	19	as	as	ADP
arjefm-59	162	20	the	the	DET
arjefm-59	162	21	idiosyncratic	idiosyncratic	ADJ
arjefm-59	162	22	volatility	volatility	NOUN
arjefm-59	162	23	of	of	ADP
arjefm-59	162	24	stocks	stock	NOUN
arjefm-59	162	25	increases	increase	NOUN
arjefm-59	162	26	.	.	PUNCT
arjefm-59	163	1	for	for	ADP
arjefm-59	163	2	instance	instance	NOUN
arjefm-59	163	3	,	,	PUNCT
arjefm-59	163	4	the	the	DET
arjefm-59	163	5	profitability	profitability	NOUN
arjefm-59	163	6	of	of	ADP
arjefm-59	163	7	the	the	DET
arjefm-59	163	8	lowest	low	ADJ
arjefm-59	163	9	idiosyncratic	idiosyncratic	ADJ
arjefm-59	163	10	volatility	volatility	NOUN
arjefm-59	163	11	sorted	sort	VERB
arjefm-59	163	12	portfolio	portfolio	NOUN
arjefm-59	163	13	(	(	PUNCT
arjefm-59	163	14	portfolio	portfolio	NOUN
arjefm-59	163	15	1	1	NUM
arjefm-59	163	16	)	)	PUNCT
arjefm-59	163	17	is	be	AUX
arjefm-59	163	18	found	find	VERB
arjefm-59	163	19	to	to	PART
arjefm-59	163	20	be	be	AUX
arjefm-59	163	21	11.32	11.32	NUM
arjefm-59	163	22	percent	percent	NOUN
arjefm-59	163	23	while	while	SCONJ
arjefm-59	163	24	the	the	DET
arjefm-59	163	25	profitability	profitability	NOUN
arjefm-59	163	26	of	of	ADP
arjefm-59	163	27	the	the	DET
arjefm-59	163	28	highest	high	ADJ
arjefm-59	163	29	idiosyncratic	idiosyncratic	ADJ
arjefm-59	163	30	volatility	volatility	NOUN
arjefm-59	163	31	sorted	sort	VERB
arjefm-59	163	32	portfolio	portfolio	NOUN
arjefm-59	163	33	(	(	PUNCT
arjefm-59	163	34	portfolio5	portfolio5	NOUN
arjefm-59	163	35	)	)	PUNCT
arjefm-59	163	36	is	be	AUX
arjefm-59	163	37	found	find	VERB
arjefm-59	163	38	to	to	PART
arjefm-59	163	39	be	be	AUX
arjefm-59	163	40	-0.09	-0.09	NUM
arjefm-59	163	41	percent	percent	NOUN
arjefm-59	163	42	.	.	PUNCT
arjefm-59	164	1	in	in	ADP
arjefm-59	164	2	other	other	ADJ
arjefm-59	164	3	words	word	NOUN
arjefm-59	164	4	,	,	PUNCT
arjefm-59	164	5	this	this	PRON
arjefm-59	164	6	implies	imply	VERB
arjefm-59	164	7	that	that	SCONJ
arjefm-59	164	8	when	when	SCONJ
arjefm-59	164	9	the	the	DET
arjefm-59	164	10	idiosyncratic	idiosyncratic	ADJ
arjefm-59	164	11	volatility	volatility	NOUN
arjefm-59	164	12	of	of	ADP
arjefm-59	164	13	stocks	stock	NOUN
arjefm-59	164	14	increases	increase	VERB
arjefm-59	164	15	the	the	DET
arjefm-59	164	16	profitability	profitability	NOUN
arjefm-59	164	17	of	of	ADP
arjefm-59	164	18	stocks	stock	NOUN
arjefm-59	164	19	starts	start	VERB
arjefm-59	164	20	to	to	PART
arjefm-59	164	21	fall	fall	VERB
arjefm-59	164	22	.	.	PUNCT
arjefm-59	165	1	this	this	PRON
arjefm-59	165	2	confirms	confirm	VERB
arjefm-59	165	3	the	the	DET
arjefm-59	165	4	argument	argument	NOUN
arjefm-59	165	5	of	of	ADP
arjefm-59	165	6	fu	fu	NOUN
arjefm-59	165	7	(	(	PUNCT
arjefm-59	165	8	2009	2009	NUM
arjefm-59	165	9	)	)	PUNCT
arjefm-59	165	10	on	on	ADP
arjefm-59	165	11	the	the	DET
arjefm-59	165	12	idiosyncratic	idiosyncratic	ADJ
arjefm-59	165	13	volatility	volatility	NOUN
arjefm-59	165	14	where	where	SCONJ
arjefm-59	165	15	he	he	PRON
arjefm-59	165	16	notes	note	VERB
arjefm-59	165	17	that	that	SCONJ
arjefm-59	165	18	idiosyncratic	idiosyncratic	ADJ
arjefm-59	165	19	volatility	volatility	NOUN
arjefm-59	165	20	is	be	AUX
arjefm-59	165	21	firm	firm	ADJ
arjefm-59	165	22	specific	specific	ADJ
arjefm-59	166	1	and	and	CCONJ
arjefm-59	166	2	it	it	PRON
arjefm-59	166	3	does	do	AUX
arjefm-59	166	4	not	not	PART
arjefm-59	166	5	move	move	VERB
arjefm-59	166	6	in	in	ADP
arjefm-59	166	7	line	line	NOUN
arjefm-59	166	8	with	with	ADP
arjefm-59	166	9	the	the	DET
arjefm-59	166	10	market	market	NOUN
arjefm-59	166	11	.	.	PUNCT
arjefm-59	167	1	hence	hence	ADV
arjefm-59	167	2	,	,	PUNCT
arjefm-59	167	3	the	the	DET
arjefm-59	167	4	impact	impact	NOUN
arjefm-59	167	5	of	of	ADP
arjefm-59	167	6	idiosyncratic	idiosyncratic	ADJ
arjefm-59	167	7	volatility	volatility	NOUN
arjefm-59	167	8	varies	vary	VERB
arjefm-59	167	9	from	from	ADP
arjefm-59	167	10	one	one	NUM
arjefm-59	167	11	firm	firm	NOUN
arjefm-59	167	12	to	to	ADP
arjefm-59	167	13	another	another	PRON
arjefm-59	167	14	where	where	SCONJ
arjefm-59	167	15	the	the	DET
arjefm-59	167	16	results	result	NOUN
arjefm-59	167	17	show	show	VERB
arjefm-59	167	18	that	that	SCONJ
arjefm-59	167	19	when	when	SCONJ
arjefm-59	167	20	the	the	DET
arjefm-59	167	21	idiosyncratic	idiosyncratic	ADJ
arjefm-59	167	22	volatility	volatility	NOUN
arjefm-59	167	23	becomes	become	VERB
arjefm-59	167	24	high	high	ADJ
arjefm-59	167	25	,	,	PUNCT
arjefm-59	167	26	it	it	PRON
arjefm-59	167	27	negatively	negatively	ADV
arjefm-59	167	28	affects	affect	VERB
arjefm-59	167	29	the	the	DET
arjefm-59	167	30	profitability	profitability	NOUN
arjefm-59	167	31	of	of	ADP
arjefm-59	167	32	the	the	DET
arjefm-59	167	33	firms	firm	NOUN
arjefm-59	167	34	.	.	PUNCT
arjefm-59	168	1	panel	panel	NOUN
arjefm-59	168	2	b	b	X
arjefm-59	168	3	:	:	PUNCT
arjefm-59	168	4	value	value	NOUN
arjefm-59	168	5	weight	weight	NOUN
arjefm-59	168	6	average	average	ADJ
arjefm-59	168	7	returns	return	NOUN
arjefm-59	168	8	portfolios	portfolio	NOUN
arjefm-59	168	9	formed	form	VERB
arjefm-59	168	10	on	on	ADP
arjefm-59	168	11	ivol	ivol	NOUN
arjefm-59	168	12	)	)	PUNCT
arjefm-59	168	13	(	(	PUNCT
arjefm-59	168	14	low	low	ADJ
arjefm-59	168	15	1	1	NUM
arjefm-59	168	16	2	2	NUM
arjefm-59	168	17	3	3	NUM
arjefm-59	168	18	4	4	NUM
arjefm-59	168	19	5	5	NUM
arjefm-59	168	20	(	(	PUNCT
arjefm-59	168	21	high	high	ADJ
arjefm-59	168	22	)	)	PUNCT
arjefm-59	168	23	(	(	PUNCT
arjefm-59	168	24	5	5	NUM
arjefm-59	168	25	1	1	NUM
arjefm-59	168	26	)	)	PUNCT
arjefm-59	168	27	𝑅	𝑅	NOUN
arjefm-59	168	28	%	%	NOUN
arjefm-59	168	29	0.07	0.07	NUM
arjefm-59	168	30	%	%	NOUN
arjefm-59	168	31	0.05	0.05	NUM
arjefm-59	168	32	%	%	NOUN
arjefm-59	168	33	0.15	0.15	NUM
arjefm-59	168	34	%	%	NOUN
arjefm-59	168	35	0.25	0.25	NUM
arjefm-59	168	36	%	%	NOUN
arjefm-59	168	37	0.24	0.24	NUM
arjefm-59	168	38	0.30	0.30	NUM
arjefm-59	168	39	%	%	NOUN
arjefm-59	168	40	(	(	PUNCT
arjefm-59	168	41	0.4790	0.4790	NUM
arjefm-59	168	42	)	)	PUNCT
arjefm-59	168	43	(	(	PUNCT
arjefm-59	168	44	0.0005	0.0005	NUM
arjefm-59	168	45	)	)	PUNCT
arjefm-59	168	46	(	(	PUNCT
arjefm-59	168	47	0.0015	0.0015	NUM
arjefm-59	168	48	)	)	PUNCT
arjefm-59	168	49	(	(	PUNCT
arjefm-59	168	50	0.0025	0.0025	NUM
arjefm-59	168	51	)	)	PUNCT
arjefm-59	168	52	(	(	PUNCT
arjefm-59	168	53	0.0024	0.0024	NUM
arjefm-59	168	54	)	)	PUNCT
arjefm-59	168	55	(	(	PUNCT
arjefm-59	168	56	1.2576	1.2576	NUM
arjefm-59	168	57	)	)	PUNCT
arjefm-59	168	58	market	market	NOUN
arjefm-59	168	59	share	share	NOUN
arjefm-59	168	60	29.04	29.04	NUM
arjefm-59	168	61	%	%	NOUN
arjefm-59	168	62	20.90	20.90	NUM
arjefm-59	168	63	%	%	NOUN
arjefm-59	168	64	17.29	17.29	NUM
arjefm-59	168	65	%	%	NOUN
arjefm-59	168	66	16.82	16.82	NUM
arjefm-59	168	67	%	%	NOUN
arjefm-59	168	68	15.94	15.94	NUM
arjefm-59	168	69	%	%	NOUN
arjefm-59	168	70	mailto:contact@americaserial.com	mailto:contact@americaserial.com	PROPN
arjefm-59	168	71	mailto:contact@americaserial.com	mailto:contact@americaserial.com	PROPN
arjefm-59	169	1	american	american	PROPN
arjefm-59	169	2	research	research	PROPN
arjefm-59	169	3	journal	journal	PROPN
arjefm-59	169	4	of	of	ADP
arjefm-59	169	5	economics	economic	NOUN
arjefm-59	169	6	,	,	PUNCT
arjefm-59	169	7	finance	finance	NOUN
arjefm-59	169	8	and	and	CCONJ
arjefm-59	169	9	management	management	NOUN
arjefm-59	169	10	volume	volume	NOUN
arjefm-59	169	11	10	10	NUM
arjefm-59	169	12	issue	issue	NOUN
arjefm-59	169	13	1	1	NUM
arjefm-59	169	14	,	,	PUNCT
arjefm-59	169	15	january	january	PROPN
arjefm-59	169	16	-	-	PUNCT
arjefm-59	169	17	march	march	PROPN
arjefm-59	169	18	2022	2022	NUM
arjefm-59	169	19	issn	issn	NOUN
arjefm-59	169	20	:	:	PUNCT
arjefm-59	169	21	2836	2836	NUM
arjefm-59	169	22	-	-	SYM
arjefm-59	169	23	9416	9416	NUM
arjefm-59	169	24	impact	impact	NOUN
arjefm-59	169	25	factor	factor	NOUN
arjefm-59	169	26	:	:	PUNCT
arjefm-59	169	27	4.85	4.85	NUM
arjefm-59	169	28	journal	journal	NOUN
arjefm-59	169	29	homepage	homepage	NOUN
arjefm-59	169	30	:	:	PUNCT
arjefm-59	169	31	https://americaserial.com/journals/index.php/arjefm	https://americaserial.com/journals/index.php/arjefm	NOUN
arjefm-59	169	32	,	,	PUNCT
arjefm-59	169	33	email	email	NOUN
arjefm-59	169	34	:	:	PUNCT
arjefm-59	169	35	contact@americaserial.com	contact@americaserial.com	PROPN
arjefm-59	169	36	official	official	ADJ
arjefm-59	169	37	journal	journal	PROPN
arjefm-59	169	38	of	of	ADP
arjefm-59	169	39	america	america	PROPN
arjefm-59	169	40	serial	serial	PROPN
arjefm-59	169	41	publication	publication	NOUN
arjefm-59	169	42	american	american	PROPN
arjefm-59	169	43	research	research	PROPN
arjefm-59	169	44	journal	journal	PROPN
arjefm-59	169	45	of	of	ADP
arjefm-59	169	46	economics	economic	NOUN
arjefm-59	169	47	,	,	PUNCT
arjefm-59	169	48	finance	finance	NOUN
arjefm-59	169	49	and	and	CCONJ
arjefm-59	169	50	management	management	NOUN
arjefm-59	169	51	https://americaserial.com/journals/index.php/arjefm	https://americaserial.com/journals/index.php/arjefm	NOUN
arjefm-59	169	52	,	,	PUNCT
arjefm-59	169	53	email	email	NOUN
arjefm-59	169	54	:	:	PUNCT
arjefm-59	169	55	contact@americaserial.com	contact@americaserial.com	X
arjefm-59	170	1	9	9	NUM
arjefm-59	171	1	|	|	ADV
arjefm-59	171	2	p	p	X
arjefm-59	171	3	a	a	DET
arjefm-59	171	4	g	g	NOUN
arjefm-59	171	5	e	e	NOUN
arjefm-59	171	6	furthermore	furthermore	ADV
arjefm-59	171	7	,	,	PUNCT
arjefm-59	171	8	fama	fama	PROPN
arjefm-59	171	9	and	and	CCONJ
arjefm-59	171	10	french	french	ADJ
arjefm-59	171	11	(	(	PUNCT
arjefm-59	171	12	2015	2015	NUM
arjefm-59	171	13	)	)	PUNCT
arjefm-59	171	14	highlight	highlight	VERB
arjefm-59	171	15	that	that	SCONJ
arjefm-59	171	16	small	small	ADJ
arjefm-59	171	17	stocks	stock	NOUN
arjefm-59	171	18	tend	tend	VERB
arjefm-59	171	19	to	to	PART
arjefm-59	171	20	be	be	AUX
arjefm-59	171	21	less	less	ADV
arjefm-59	171	22	profitable	profitable	ADJ
arjefm-59	171	23	compared	compare	VERB
arjefm-59	171	24	to	to	ADP
arjefm-59	171	25	big	big	ADJ
arjefm-59	171	26	stocks	stock	NOUN
arjefm-59	171	27	;	;	PUNCT
arjefm-59	171	28	the	the	DET
arjefm-59	171	29	profitability	profitability	NOUN
arjefm-59	171	30	premium	premium	NOUN
arjefm-59	171	31	is	be	AUX
arjefm-59	171	32	higher	high	ADJ
arjefm-59	171	33	for	for	ADP
arjefm-59	171	34	small	small	ADJ
arjefm-59	171	35	stocks	stock	NOUN
arjefm-59	171	36	compared	compare	VERB
arjefm-59	171	37	to	to	ADP
arjefm-59	171	38	big	big	ADJ
arjefm-59	171	39	stocks	stock	NOUN
arjefm-59	171	40	.	.	PUNCT
arjefm-59	172	1	the	the	DET
arjefm-59	172	2	empirical	empirical	ADJ
arjefm-59	172	3	findings	finding	NOUN
arjefm-59	172	4	of	of	ADP
arjefm-59	172	5	table	table	NOUN
arjefm-59	172	6	3	3	NUM
arjefm-59	172	7	pertinent	pertinent	NOUN
arjefm-59	172	8	to	to	ADP
arjefm-59	172	9	characteristics	characteristic	NOUN
arjefm-59	172	10	of	of	ADP
arjefm-59	172	11	the	the	DET
arjefm-59	172	12	idiosyncratic	idiosyncratic	ADJ
arjefm-59	172	13	volatility	volatility	NOUN
arjefm-59	172	14	sorted	sort	VERB
arjefm-59	172	15	stock	stock	NOUN
arjefm-59	172	16	portfolios	portfolio	NOUN
arjefm-59	172	17	lend	lend	VERB
arjefm-59	172	18	direct	direct	ADJ
arjefm-59	172	19	support	support	NOUN
arjefm-59	172	20	for	for	ADP
arjefm-59	172	21	this	this	DET
arjefm-59	172	22	argument	argument	NOUN
arjefm-59	172	23	.	.	PUNCT
arjefm-59	173	1	for	for	ADP
arjefm-59	173	2	instance	instance	NOUN
arjefm-59	173	3	,	,	PUNCT
arjefm-59	173	4	as	as	SCONJ
arjefm-59	173	5	discussed	discuss	VERB
arjefm-59	173	6	earlier	early	ADV
arjefm-59	173	7	,	,	PUNCT
arjefm-59	173	8	small	small	ADJ
arjefm-59	173	9	stocks	stock	NOUN
arjefm-59	173	10	tend	tend	VERB
arjefm-59	173	11	to	to	PART
arjefm-59	173	12	have	have	VERB
arjefm-59	173	13	higher	high	ADJ
arjefm-59	173	14	idiosyncratic	idiosyncratic	ADJ
arjefm-59	173	15	volatility	volatility	NOUN
arjefm-59	173	16	compared	compare	VERB
arjefm-59	173	17	to	to	ADP
arjefm-59	173	18	big	big	ADJ
arjefm-59	173	19	stocks	stock	NOUN
arjefm-59	173	20	,	,	PUNCT
arjefm-59	173	21	indicating	indicate	VERB
arjefm-59	173	22	less	less	ADJ
arjefm-59	173	23	profitability	profitability	NOUN
arjefm-59	173	24	of	of	ADP
arjefm-59	173	25	small	small	ADJ
arjefm-59	173	26	stocks	stock	NOUN
arjefm-59	173	27	due	due	ADP
arjefm-59	173	28	to	to	ADP
arjefm-59	173	29	their	their	PRON
arjefm-59	173	30	high	high	ADJ
arjefm-59	173	31	idiosyncratic	idiosyncratic	ADJ
arjefm-59	173	32	volatility	volatility	NOUN
arjefm-59	173	33	.	.	PUNCT
arjefm-59	174	1	hence	hence	ADV
arjefm-59	174	2	,	,	PUNCT
arjefm-59	174	3	this	this	PRON
arjefm-59	174	4	clearly	clearly	ADV
arjefm-59	174	5	supports	support	VERB
arjefm-59	174	6	the	the	DET
arjefm-59	174	7	argument	argument	NOUN
arjefm-59	174	8	of	of	ADP
arjefm-59	174	9	fama	fama	NOUN
arjefm-59	174	10	and	and	CCONJ
arjefm-59	174	11	french	french	ADJ
arjefm-59	174	12	(	(	PUNCT
arjefm-59	174	13	2015	2015	NUM
arjefm-59	174	14	)	)	PUNCT
arjefm-59	174	15	on	on	ADP
arjefm-59	174	16	higher	high	ADJ
arjefm-59	174	17	profitability	profitability	NOUN
arjefm-59	174	18	premium	premium	NOUN
arjefm-59	174	19	on	on	ADP
arjefm-59	174	20	small	small	ADJ
arjefm-59	174	21	stocks	stock	NOUN
arjefm-59	174	22	.	.	PUNCT
arjefm-59	175	1	on	on	ADP
arjefm-59	175	2	the	the	DET
arjefm-59	175	3	other	other	ADJ
arjefm-59	175	4	hand	hand	NOUN
arjefm-59	175	5	,	,	PUNCT
arjefm-59	175	6	table	table	NOUN
arjefm-59	175	7	3	3	NUM
arjefm-59	175	8	demonstrates	demonstrate	VERB
arjefm-59	175	9	another	another	DET
arjefm-59	175	10	piece	piece	NOUN
arjefm-59	175	11	of	of	ADP
arjefm-59	175	12	interesting	interesting	ADJ
arjefm-59	175	13	evidence	evidence	NOUN
arjefm-59	175	14	on	on	ADP
arjefm-59	175	15	idiosyncratic	idiosyncratic	ADJ
arjefm-59	175	16	volatility	volatility	NOUN
arjefm-59	175	17	of	of	ADP
arjefm-59	175	18	stocks	stock	NOUN
arjefm-59	175	19	.	.	PUNCT
arjefm-59	176	1	that	that	PRON
arjefm-59	176	2	is	be	AUX
arjefm-59	176	3	,	,	PUNCT
arjefm-59	176	4	as	as	ADP
arjefm-59	176	5	per	per	ADP
arjefm-59	176	6	the	the	DET
arjefm-59	176	7	results	result	NOUN
arjefm-59	176	8	,	,	PUNCT
arjefm-59	176	9	it	it	PRON
arjefm-59	176	10	can	can	AUX
arjefm-59	176	11	be	be	AUX
arjefm-59	176	12	observed	observe	VERB
arjefm-59	176	13	that	that	SCONJ
arjefm-59	176	14	stocks	stock	NOUN
arjefm-59	176	15	with	with	ADP
arjefm-59	176	16	higher	high	ADJ
arjefm-59	176	17	idiosyncratic	idiosyncratic	ADJ
arjefm-59	176	18	volatility	volatility	NOUN
arjefm-59	176	19	have	have	VERB
arjefm-59	176	20	the	the	DET
arjefm-59	176	21	lowest	low	ADJ
arjefm-59	176	22	investment	investment	NOUN
arjefm-59	176	23	value	value	NOUN
arjefm-59	176	24	compared	compare	VERB
arjefm-59	176	25	to	to	ADP
arjefm-59	176	26	stocks	stock	NOUN
arjefm-59	176	27	with	with	ADP
arjefm-59	176	28	lower	low	ADJ
arjefm-59	176	29	idiosyncratic	idiosyncratic	ADJ
arjefm-59	176	30	volatility	volatility	NOUN
arjefm-59	176	31	.	.	PUNCT
arjefm-59	177	1	hence	hence	ADV
arjefm-59	177	2	,	,	PUNCT
arjefm-59	177	3	it	it	PRON
arjefm-59	177	4	seems	seem	VERB
arjefm-59	177	5	that	that	SCONJ
arjefm-59	177	6	stocks	stock	NOUN
arjefm-59	177	7	with	with	ADP
arjefm-59	177	8	higher	high	ADJ
arjefm-59	177	9	idiosyncratic	idiosyncratic	ADJ
arjefm-59	177	10	volatility	volatility	NOUN
arjefm-59	177	11	suffer	suffer	VERB
arjefm-59	177	12	from	from	ADP
arjefm-59	177	13	future	future	ADJ
arjefm-59	177	14	growth	growth	NOUN
arjefm-59	177	15	prospects	prospect	NOUN
arjefm-59	177	16	due	due	ADP
arjefm-59	177	17	to	to	ADP
arjefm-59	177	18	higher	high	ADJ
arjefm-59	177	19	level	level	NOUN
arjefm-59	177	20	of	of	ADP
arjefm-59	177	21	volatility	volatility	NOUN
arjefm-59	177	22	in	in	ADP
arjefm-59	177	23	the	the	DET
arjefm-59	177	24	firm	firm	ADJ
arjefm-59	177	25	specific	specific	ADJ
arjefm-59	177	26	risks	risk	NOUN
arjefm-59	177	27	which	which	PRON
arjefm-59	177	28	hinder	hinder	VERB
arjefm-59	177	29	the	the	DET
arjefm-59	177	30	capital	capital	NOUN
arjefm-59	177	31	investments	investment	NOUN
arjefm-59	177	32	of	of	ADP
arjefm-59	177	33	such	such	ADJ
arjefm-59	177	34	firms	firm	NOUN
arjefm-59	177	35	.	.	PUNCT
arjefm-59	178	1	furthermore	furthermore	ADV
arjefm-59	178	2	,	,	PUNCT
arjefm-59	178	3	fama	fama	PROPN
arjefm-59	178	4	and	and	CCONJ
arjefm-59	178	5	french	french	ADJ
arjefm-59	178	6	(	(	PUNCT
arjefm-59	178	7	2015	2015	NUM
arjefm-59	178	8	)	)	PUNCT
arjefm-59	178	9	argue	argue	VERB
arjefm-59	178	10	that	that	SCONJ
arjefm-59	178	11	expected	expect	VERB
arjefm-59	178	12	investment	investment	NOUN
arjefm-59	178	13	premium	premium	NOUN
arjefm-59	178	14	is	be	AUX
arjefm-59	178	15	quite	quite	ADV
arjefm-59	178	16	larger	large	ADJ
arjefm-59	178	17	for	for	ADP
arjefm-59	178	18	small	small	ADJ
arjefm-59	178	19	firms	firm	NOUN
arjefm-59	178	20	.	.	PUNCT
arjefm-59	179	1	the	the	DET
arjefm-59	179	2	findings	finding	NOUN
arjefm-59	179	3	of	of	ADP
arjefm-59	179	4	this	this	DET
arjefm-59	179	5	study	study	NOUN
arjefm-59	179	6	clearly	clearly	ADV
arjefm-59	179	7	in	in	ADP
arjefm-59	179	8	line	line	NOUN
arjefm-59	179	9	with	with	ADP
arjefm-59	179	10	this	this	DET
arjefm-59	179	11	argument	argument	NOUN
arjefm-59	179	12	where	where	SCONJ
arjefm-59	179	13	the	the	DET
arjefm-59	179	14	stocks	stock	NOUN
arjefm-59	179	15	with	with	ADP
arjefm-59	179	16	higher	high	ADJ
arjefm-59	179	17	idiosyncratic	idiosyncratic	ADJ
arjefm-59	179	18	volatility	volatility	NOUN
arjefm-59	179	19	tend	tend	VERB
arjefm-59	179	20	to	to	PART
arjefm-59	179	21	be	be	AUX
arjefm-59	179	22	small	small	ADJ
arjefm-59	179	23	and	and	CCONJ
arjefm-59	179	24	their	their	PRON
arjefm-59	179	25	investment	investment	NOUN
arjefm-59	179	26	values	value	NOUN
arjefm-59	179	27	are	be	AUX
arjefm-59	179	28	relatively	relatively	ADV
arjefm-59	179	29	lower	low	ADJ
arjefm-59	179	30	compared	compare	VERB
arjefm-59	179	31	to	to	ADP
arjefm-59	179	32	big	big	ADJ
arjefm-59	179	33	stocks	stock	NOUN
arjefm-59	179	34	.	.	PUNCT
arjefm-59	180	1	hence	hence	ADV
arjefm-59	180	2	,	,	PUNCT
arjefm-59	180	3	the	the	DET
arjefm-59	180	4	investors	investor	NOUN
arjefm-59	180	5	expect	expect	VERB
arjefm-59	180	6	a	a	DET
arjefm-59	180	7	higher	high	ADJ
arjefm-59	180	8	investment	investment	NOUN
arjefm-59	180	9	premium	premium	NOUN
arjefm-59	180	10	(	(	PUNCT
arjefm-59	180	11	fama	fama	PROPN
arjefm-59	180	12	&	&	CCONJ
arjefm-59	180	13	french	french	PROPN
arjefm-59	180	14	,	,	PUNCT
arjefm-59	180	15	2015	2015	NUM
arjefm-59	180	16	)	)	PUNCT
arjefm-59	180	17	.	.	PUNCT
arjefm-59	181	1	moreover	moreover	ADV
arjefm-59	181	2	,	,	PUNCT
arjefm-59	181	3	fama	fama	PROPN
arjefm-59	181	4	and	and	CCONJ
arjefm-59	181	5	french	french	ADJ
arjefm-59	181	6	(	(	PUNCT
arjefm-59	181	7	2015	2015	NUM
arjefm-59	181	8	)	)	PUNCT
arjefm-59	181	9	report	report	NOUN
arjefm-59	181	10	that	that	SCONJ
arjefm-59	181	11	small	small	ADJ
arjefm-59	181	12	firms	firm	NOUN
arjefm-59	181	13	tend	tend	VERB
arjefm-59	181	14	to	to	PART
arjefm-59	181	15	invest	invest	VERB
arjefm-59	181	16	more	more	ADJ
arjefm-59	181	17	despite	despite	SCONJ
arjefm-59	181	18	their	their	PRON
arjefm-59	181	19	lower	low	ADJ
arjefm-59	181	20	level	level	NOUN
arjefm-59	181	21	of	of	ADP
arjefm-59	181	22	profitability	profitability	NOUN
arjefm-59	181	23	.	.	PUNCT
arjefm-59	182	1	perhaps	perhaps	ADV
arjefm-59	182	2	as	as	SCONJ
arjefm-59	182	3	shown	show	VERB
arjefm-59	182	4	in	in	ADP
arjefm-59	182	5	the	the	DET
arjefm-59	182	6	results	result	NOUN
arjefm-59	182	7	of	of	ADP
arjefm-59	182	8	table	table	NOUN
arjefm-59	182	9	3	3	NUM
arjefm-59	182	10	,	,	PUNCT
arjefm-59	182	11	presence	presence	NOUN
arjefm-59	182	12	of	of	ADP
arjefm-59	182	13	high	high	ADJ
arjefm-59	182	14	idiosyncratic	idiosyncratic	ADJ
arjefm-59	182	15	volatility	volatility	NOUN
arjefm-59	182	16	with	with	ADP
arjefm-59	182	17	small	small	ADJ
arjefm-59	182	18	stocks	stock	NOUN
arjefm-59	182	19	might	might	AUX
arjefm-59	182	20	be	be	AUX
arjefm-59	182	21	the	the	DET
arjefm-59	182	22	reason	reason	NOUN
arjefm-59	182	23	which	which	PRON
arjefm-59	182	24	hinders	hinder	VERB
arjefm-59	182	25	the	the	DET
arjefm-59	182	26	ability	ability	NOUN
arjefm-59	182	27	of	of	ADP
arjefm-59	182	28	such	such	ADJ
arjefm-59	182	29	firms	firm	NOUN
arjefm-59	182	30	to	to	PART
arjefm-59	182	31	reap	reap	VERB
arjefm-59	182	32	benefits	benefit	NOUN
arjefm-59	182	33	from	from	ADP
arjefm-59	182	34	their	their	PRON
arjefm-59	182	35	investments	investment	NOUN
arjefm-59	182	36	.	.	PUNCT
arjefm-59	183	1	4.3	4.3	NUM
arjefm-59	183	2	grs	grs	PROPN
arjefm-59	183	3	test	test	NOUN
arjefm-59	183	4	in	in	ADP
arjefm-59	183	5	the	the	DET
arjefm-59	183	6	grs	grs	PROPN
arjefm-59	183	7	test	test	NOUN
arjefm-59	183	8	,	,	PUNCT
arjefm-59	183	9	the	the	DET
arjefm-59	183	10	null	null	ADJ
arjefm-59	183	11	hypothesis	hypothesis	NOUN
arjefm-59	183	12	denotes	denote	VERB
arjefm-59	183	13	that	that	SCONJ
arjefm-59	183	14	there	there	PRON
arjefm-59	183	15	is	be	VERB
arjefm-59	183	16	no	no	DET
arjefm-59	183	17	significant	significant	ADJ
arjefm-59	183	18	difference	difference	NOUN
arjefm-59	183	19	between	between	ADP
arjefm-59	183	20	the	the	DET
arjefm-59	183	21	intercepts	intercept	NOUN
arjefm-59	183	22	of	of	ADP
arjefm-59	183	23	the	the	DET
arjefm-59	183	24	asset	asset	NOUN
arjefm-59	183	25	returns	return	NOUN
arjefm-59	183	26	under	under	ADP
arjefm-59	183	27	consideration	consideration	NOUN
arjefm-59	183	28	.	.	PUNCT
arjefm-59	184	1	in	in	ADP
arjefm-59	184	2	other	other	ADJ
arjefm-59	184	3	words	word	NOUN
arjefm-59	184	4	,	,	PUNCT
arjefm-59	184	5	tailoring	tailor	VERB
arjefm-59	184	6	to	to	ADP
arjefm-59	184	7	the	the	DET
arjefm-59	184	8	current	current	ADJ
arjefm-59	184	9	study	study	NOUN
arjefm-59	184	10	,	,	PUNCT
arjefm-59	184	11	this	this	PRON
arjefm-59	184	12	indicates	indicate	VERB
arjefm-59	184	13	that	that	SCONJ
arjefm-59	184	14	the	the	DET
arjefm-59	184	15	intercepts	intercept	NOUN
arjefm-59	184	16	of	of	ADP
arjefm-59	184	17	the	the	DET
arjefm-59	184	18	idiosyncratic	idiosyncratic	ADJ
arjefm-59	184	19	volatility	volatility	NOUN
arjefm-59	184	20	sorted	sort	VERB
arjefm-59	184	21	stock	stock	NOUN
arjefm-59	184	22	portfolios	portfolio	NOUN
arjefm-59	184	23	are	be	AUX
arjefm-59	184	24	not	not	PART
arjefm-59	184	25	significantly	significantly	ADV
arjefm-59	184	26	different	different	ADJ
arjefm-59	184	27	from	from	ADP
arjefm-59	184	28	each	each	DET
arjefm-59	184	29	other	other	ADJ
arjefm-59	184	30	.	.	PUNCT
arjefm-59	185	1	thus	thus	ADV
arjefm-59	185	2	,	,	PUNCT
arjefm-59	185	3	it	it	PRON
arjefm-59	185	4	rejects	reject	VERB
arjefm-59	185	5	the	the	DET
arjefm-59	185	6	presence	presence	NOUN
arjefm-59	185	7	of	of	ADP
arjefm-59	185	8	idiosyncratic	idiosyncratic	ADJ
arjefm-59	185	9	volatility	volatility	NOUN
arjefm-59	185	10	of	of	ADP
arjefm-59	185	11	stocks	stock	NOUN
arjefm-59	185	12	.	.	PUNCT
arjefm-59	186	1	moreover	moreover	ADV
arjefm-59	186	2	,	,	PUNCT
arjefm-59	186	3	it	it	PRON
arjefm-59	186	4	should	should	AUX
arjefm-59	186	5	be	be	AUX
arjefm-59	186	6	noted	note	VERB
arjefm-59	186	7	that	that	SCONJ
arjefm-59	186	8	grs	grs	PROPN
arjefm-59	186	9	test	test	NOUN
arjefm-59	186	10	has	have	AUX
arjefm-59	186	11	been	be	AUX
arjefm-59	186	12	carried	carry	VERB
arjefm-59	186	13	out	out	ADP
arjefm-59	186	14	only	only	ADV
arjefm-59	186	15	for	for	ADP
arjefm-59	186	16	equal	equal	ADJ
arjefm-59	186	17	-	-	PUNCT
arjefm-59	186	18	weight	weight	NOUN
arjefm-59	186	19	portfolios	portfolio	NOUN
arjefm-59	186	20	as	as	SCONJ
arjefm-59	186	21	value	value	NOUN
arjefm-59	186	22	-	-	PUNCT
arjefm-59	186	23	weight	weight	NOUN
arjefm-59	186	24	portfolio	portfolio	NOUN
arjefm-59	186	25	returns	return	NOUN
arjefm-59	186	26	generate	generate	VERB
arjefm-59	186	27	statistically	statistically	ADV
arjefm-59	186	28	insignificant	insignificant	ADJ
arjefm-59	186	29	results	result	NOUN
arjefm-59	186	30	(	(	PUNCT
arjefm-59	186	31	see	see	VERB
arjefm-59	186	32	table	table	NOUN
arjefm-59	186	33	3	3	NUM
arjefm-59	186	34	)	)	PUNCT
arjefm-59	186	35	.	.	PUNCT
arjefm-59	187	1	according	accord	VERB
arjefm-59	187	2	to	to	ADP
arjefm-59	187	3	empirical	empirical	ADJ
arjefm-59	187	4	results	result	NOUN
arjefm-59	187	5	depicted	depict	VERB
arjefm-59	187	6	in	in	ADP
arjefm-59	187	7	table	table	NOUN
arjefm-59	187	8	4,fama	4,fama	NUM
arjefm-59	187	9	and	and	CCONJ
arjefm-59	187	10	french	french	ADJ
arjefm-59	187	11	five	five	NUM
arjefm-59	187	12	-	-	PUNCT
arjefm-59	187	13	factor	factor	NOUN
arjefm-59	187	14	(	(	PUNCT
arjefm-59	187	15	ff	ff	NOUN
arjefm-59	187	16	5	5	NUM
arjefm-59	187	17	)	)	PUNCT
arjefm-59	187	18	alpha	alpha	NOUN
arjefm-59	187	19	of	of	ADP
arjefm-59	187	20	lowest	low	ADJ
arjefm-59	187	21	ivol	ivol	NOUN
arjefm-59	187	22	portfolio	portfolio	NOUN
arjefm-59	187	23	is	be	AUX
arjefm-59	187	24	-4.44	-4.44	NUM
arjefm-59	187	25	percent	percent	NOUN
arjefm-59	187	26	while	while	SCONJ
arjefm-59	187	27	it	it	PRON
arjefm-59	187	28	is	be	AUX
arjefm-59	187	29	as	as	ADV
arjefm-59	187	30	high	high	ADJ
arjefm-59	187	31	as	as	ADP
arjefm-59	187	32	1.03	1.03	NUM
arjefm-59	187	33	percent	percent	NOUN
arjefm-59	187	34	for	for	ADP
arjefm-59	187	35	the	the	DET
arjefm-59	187	36	highest	high	ADJ
arjefm-59	187	37	ivol	ivol	NOUN
arjefm-59	187	38	portfolio	portfolio	NOUN
arjefm-59	187	39	.	.	PUNCT
arjefm-59	188	1	similar	similar	ADJ
arjefm-59	188	2	to	to	ADP
arjefm-59	188	3	a	a	DET
arjefm-59	188	4	hedging	hedging	NOUN
arjefm-59	188	5	portfolio	portfolio	NOUN
arjefm-59	188	6	strategy	strategy	NOUN
arjefm-59	188	7	highlighted	highlight	VERB
arjefm-59	188	8	by	by	ADP
arjefm-59	188	9	fu	fu	NOUN
arjefm-59	188	10	(	(	PUNCT
arjefm-59	188	11	2009	2009	NUM
arjefm-59	188	12	)	)	PUNCT
arjefm-59	188	13	,	,	PUNCT
arjefm-59	188	14	longing	long	VERB
arjefm-59	188	15	highest	high	ADJ
arjefm-59	188	16	ivol	ivol	NOUN
arjefm-59	188	17	portfolio	portfolio	NOUN
arjefm-59	188	18	and	and	CCONJ
arjefm-59	188	19	shorting	shorting	PROPN
arjefm-59	188	20	lowest	low	ADJ
arjefm-59	188	21	ivol	ivol	NOUN
arjefm-59	188	22	portfolio	portfolio	NOUN
arjefm-59	188	23	produces	produce	VERB
arjefm-59	188	24	a	a	DET
arjefm-59	188	25	statistically	statistically	ADV
arjefm-59	188	26	significant	significant	ADJ
arjefm-59	188	27	monthly	monthly	ADJ
arjefm-59	188	28	return	return	NOUN
arjefm-59	188	29	of	of	ADP
arjefm-59	188	30	5.47	5.47	NUM
arjefm-59	188	31	percent	percent	NOUN
arjefm-59	188	32	.	.	PUNCT
arjefm-59	189	1	the	the	DET
arjefm-59	189	2	grs	grs	PROPN
arjefm-59	189	3	test	test	NOUN
arjefm-59	189	4	statistic	statistic	NOUN
arjefm-59	189	5	of	of	ADP
arjefm-59	189	6	26.28	26.28	NUM
arjefm-59	189	7	strongly	strongly	ADV
arjefm-59	189	8	rejects	reject	VERB
arjefm-59	189	9	the	the	DET
arjefm-59	189	10	null	null	ADJ
arjefm-59	189	11	hypothesis	hypothesis	NOUN
arjefm-59	189	12	of	of	ADP
arjefm-59	189	13	grs	grs	PROPN
arjefm-59	189	14	test	test	NOUN
arjefm-59	189	15	which	which	PRON
arjefm-59	189	16	states	state	VERB
arjefm-59	189	17	that	that	SCONJ
arjefm-59	189	18	all	all	DET
arjefm-59	189	19	intercepts	intercept	NOUN
arjefm-59	189	20	are	be	AUX
arjefm-59	189	21	not	not	PART
arjefm-59	189	22	significantly	significantly	ADV
arjefm-59	189	23	different	different	ADJ
arjefm-59	189	24	from	from	ADP
arjefm-59	189	25	zero	zero	NUM
arjefm-59	189	26	.	.	PUNCT
arjefm-59	190	1	in	in	ADP
arjefm-59	190	2	other	other	ADJ
arjefm-59	190	3	words	word	NOUN
arjefm-59	190	4	,	,	PUNCT
arjefm-59	190	5	grs	grs	NUM
arjefm-59	190	6	test	test	NOUN
arjefm-59	190	7	reconfirms	reconfirm	VERB
arjefm-59	190	8	the	the	DET
arjefm-59	190	9	findings	finding	NOUN
arjefm-59	190	10	of	of	ADP
arjefm-59	190	11	the	the	DET
arjefm-59	190	12	portfolio	portfolio	NOUN
arjefm-59	190	13	analysis	analysis	NOUN
arjefm-59	190	14	of	of	ADP
arjefm-59	190	15	this	this	DET
arjefm-59	190	16	study	study	NOUN
arjefm-59	190	17	and	and	CCONJ
arjefm-59	190	18	it	it	PRON
arjefm-59	190	19	validates	validate	VERB
arjefm-59	190	20	the	the	DET
arjefm-59	190	21	presence	presence	NOUN
arjefm-59	190	22	of	of	ADP
arjefm-59	190	23	idiosyncratic	idiosyncratic	ADJ
arjefm-59	190	24	volatility	volatility	NOUN
arjefm-59	190	25	of	of	ADP
arjefm-59	190	26	stocks	stock	NOUN
arjefm-59	190	27	in	in	ADP
arjefm-59	190	28	the	the	DET
arjefm-59	190	29	cse	cse	NOUN
arjefm-59	190	30	.	.	PUNCT
arjefm-59	190	31	table	table	NOUN
arjefm-59	191	1	4	4	NUM
arjefm-59	191	2	:	:	PUNCT
arjefm-59	191	3	fama	fama	PROPN
arjefm-59	191	4	and	and	CCONJ
arjefm-59	191	5	french	french	ADJ
arjefm-59	191	6	five	five	NUM
arjefm-59	191	7	-	-	PUNCT
arjefm-59	191	8	factor	factor	NOUN
arjefm-59	191	9	(	(	PUNCT
arjefm-59	191	10	ff	ff	NOUN
arjefm-59	191	11	5	5	NUM
arjefm-59	191	12	)	)	PUNCT
arjefm-59	191	13	alpha	alpha	NOUN
arjefm-59	191	14	values	value	NOUN
arjefm-59	191	15	portfolios	portfolio	NOUN
arjefm-59	191	16	formed	form	VERB
arjefm-59	191	17	onivol	onivol	NOUN
arjefm-59	191	18	1	1	NUM
arjefm-59	191	19	(	(	PUNCT
arjefm-59	191	20	low	low	ADJ
arjefm-59	191	21	)	)	PUNCT
arjefm-59	191	22	2	2	NUM
arjefm-59	191	23	3	3	NUM
arjefm-59	191	24	4	4	NUM
arjefm-59	191	25	5	5	NUM
arjefm-59	191	26	(	(	PUNCT
arjefm-59	191	27	high	high	ADJ
arjefm-59	191	28	)	)	PUNCT
arjefm-59	191	29	ff	ff	NOUN
arjefm-59	191	30	5	5	NUM
arjefm-59	191	31	alpha	alpha	NOUN
arjefm-59	191	32	-4.44	-4.44	NUM
arjefm-59	191	33	%	%	NOUN
arjefm-59	191	34	*	*	PUNCT
arjefm-59	192	1	-3.37	-3.37	NUM
arjefm-59	192	2	%	%	NOUN
arjefm-59	192	3	*	*	PUNCT
arjefm-59	193	1	-2.70	-2.70	NUM
arjefm-59	193	2	%	%	NOUN
arjefm-59	193	3	*	*	PUNCT
arjefm-59	193	4	-1.47	-1.47	NUM
arjefm-59	193	5	%	%	NOUN
arjefm-59	193	6	1.03	1.03	NUM
arjefm-59	193	7	%	%	NOUN
arjefm-59	193	8	(	(	PUNCT
arjefm-59	193	9	-5.2669	-5.2669	NOUN
arjefm-59	193	10	)	)	PUNCT
arjefm-59	193	11	(	(	PUNCT
arjefm-59	193	12	-3.2757	-3.2757	NOUN
arjefm-59	193	13	)	)	PUNCT
arjefm-59	193	14	(	(	PUNCT
arjefm-59	193	15	-2.4387	-2.4387	NOUN
arjefm-59	193	16	)	)	PUNCT
arjefm-59	193	17	(	(	PUNCT
arjefm-59	193	18	-1.3003	-1.3003	NOUN
arjefm-59	193	19	)	)	PUNCT
arjefm-59	193	20	(	(	PUNCT
arjefm-59	193	21	0.7089	0.7089	NUM
arjefm-59	193	22	)	)	PUNCT
arjefm-59	193	23	note	note	NOUN
arjefm-59	193	24	:	:	PUNCT
arjefm-59	193	25	newey	newey	PROPN
arjefm-59	193	26	-	-	PUNCT
arjefm-59	193	27	west	west	PROPN
arjefm-59	193	28	(	(	PUNCT
arjefm-59	193	29	1986	1986	NUM
arjefm-59	193	30	)	)	PUNCT
arjefm-59	193	31	adjusted	adjust	VERB
arjefm-59	193	32	t	t	PROPN
arjefm-59	193	33	-	-	PUNCT
arjefm-59	193	34	statistics	statistic	NOUN
arjefm-59	193	35	are	be	AUX
arjefm-59	193	36	reported	report	VERB
arjefm-59	193	37	in	in	ADP
arjefm-59	193	38	parentheses	parenthesis	NOUN
arjefm-59	193	39	.	.	PUNCT
arjefm-59	194	1	*	*	PUNCT
arjefm-59	194	2	indicates	indicate	VERB
arjefm-59	194	3	1	1	NUM
arjefm-59	194	4	percent	percent	NOUN
arjefm-59	194	5	level	level	NOUN
arjefm-59	194	6	of	of	ADP
arjefm-59	194	7	significance	significance	NOUN
arjefm-59	194	8	.	.	PUNCT
arjefm-59	195	1	mailto:contact@americaserial.com	mailto:contact@americaserial.com	X
arjefm-59	195	2	mailto:contact@americaserial.com	mailto:contact@americaserial.com	PROPN
arjefm-59	196	1	american	american	PROPN
arjefm-59	196	2	research	research	PROPN
arjefm-59	196	3	journal	journal	PROPN
arjefm-59	196	4	of	of	ADP
arjefm-59	196	5	economics	economic	NOUN
arjefm-59	196	6	,	,	PUNCT
arjefm-59	196	7	finance	finance	NOUN
arjefm-59	196	8	and	and	CCONJ
arjefm-59	196	9	management	management	NOUN
arjefm-59	196	10	volume	volume	NOUN
arjefm-59	196	11	10	10	NUM
arjefm-59	196	12	issue	issue	NOUN
arjefm-59	196	13	1	1	NUM
arjefm-59	196	14	,	,	PUNCT
arjefm-59	196	15	january	january	PROPN
arjefm-59	196	16	-	-	PUNCT
arjefm-59	196	17	march	march	PROPN
arjefm-59	196	18	2022	2022	NUM
arjefm-59	196	19	issn	issn	NOUN
arjefm-59	196	20	:	:	PUNCT
arjefm-59	196	21	2836	2836	NUM
arjefm-59	196	22	-	-	SYM
arjefm-59	196	23	9416	9416	NUM
arjefm-59	196	24	impact	impact	NOUN
arjefm-59	196	25	factor	factor	NOUN
arjefm-59	196	26	:	:	PUNCT
arjefm-59	196	27	4.85	4.85	NUM
arjefm-59	196	28	journal	journal	NOUN
arjefm-59	196	29	homepage	homepage	NOUN
arjefm-59	196	30	:	:	PUNCT
arjefm-59	196	31	https://americaserial.com/journals/index.php/arjefm	https://americaserial.com/journals/index.php/arjefm	NOUN
arjefm-59	196	32	,	,	PUNCT
arjefm-59	196	33	email	email	NOUN
arjefm-59	196	34	:	:	PUNCT
arjefm-59	197	1	contact@americaserial.com	contact@americaserial.com	PROPN
arjefm-59	197	2	official	official	ADJ
arjefm-59	197	3	journal	journal	PROPN
arjefm-59	197	4	of	of	ADP
arjefm-59	197	5	america	america	PROPN
arjefm-59	197	6	serial	serial	PROPN
arjefm-59	197	7	publication	publication	NOUN
arjefm-59	197	8	american	american	PROPN
arjefm-59	197	9	research	research	PROPN
arjefm-59	197	10	journal	journal	PROPN
arjefm-59	197	11	of	of	ADP
arjefm-59	197	12	economics	economic	NOUN
arjefm-59	197	13	,	,	PUNCT
arjefm-59	197	14	finance	finance	NOUN
arjefm-59	197	15	and	and	CCONJ
arjefm-59	197	16	management	management	NOUN
arjefm-59	197	17	https://americaserial.com/journals/index.php/arjefm	https://americaserial.com/journals/index.php/arjefm	NOUN
arjefm-59	197	18	,	,	PUNCT
arjefm-59	197	19	email	email	NOUN
arjefm-59	197	20	:	:	PUNCT
arjefm-59	197	21	contact@americaserial.com	contact@americaserial.com	X
arjefm-59	198	1	10	10	NUM
arjefm-59	199	1	|	|	ADV
arjefm-59	199	2	p	p	AUX
arjefm-59	199	3	a	a	DET
arjefm-59	199	4	g	g	NOUN
arjefm-59	199	5	e	e	NOUN
arjefm-59	199	6	5	5	NUM
arjefm-59	199	7	.	.	PUNCT
arjefm-59	199	8	conclusion	conclusion	NOUN
arjefm-59	199	9	all	all	DET
arjefm-59	199	10	empirical	empirical	ADJ
arjefm-59	199	11	asset	asset	NOUN
arjefm-59	199	12	pricing	pricing	NOUN
arjefm-59	199	13	models	model	NOUN
arjefm-59	199	14	assume	assume	VERB
arjefm-59	199	15	that	that	SCONJ
arjefm-59	199	16	the	the	DET
arjefm-59	199	17	role	role	NOUN
arjefm-59	199	18	of	of	ADP
arjefm-59	199	19	idiosyncratic	idiosyncratic	ADJ
arjefm-59	199	20	volatility	volatility	NOUN
arjefm-59	199	21	is	be	AUX
arjefm-59	199	22	irrelevant	irrelevant	ADJ
arjefm-59	199	23	as	as	SCONJ
arjefm-59	199	24	the	the	DET
arjefm-59	199	25	investors	investor	NOUN
arjefm-59	199	26	can	can	AUX
arjefm-59	199	27	avoid	avoid	VERB
arjefm-59	199	28	the	the	DET
arjefm-59	199	29	exposure	exposure	NOUN
arjefm-59	199	30	to	to	ADP
arjefm-59	199	31	the	the	DET
arjefm-59	199	32	idiosyncratic	idiosyncratic	ADJ
arjefm-59	199	33	volatility	volatility	NOUN
arjefm-59	199	34	by	by	ADP
arjefm-59	199	35	holding	hold	VERB
arjefm-59	199	36	well	well	ADV
arjefm-59	199	37	-	-	PUNCT
arjefm-59	199	38	diversified	diversify	VERB
arjefm-59	199	39	portfolios	portfolio	NOUN
arjefm-59	199	40	with	with	ADP
arjefm-59	199	41	many	many	ADJ
arjefm-59	199	42	securities	security	NOUN
arjefm-59	199	43	(	(	PUNCT
arjefm-59	199	44	bali	bali	PROPN
arjefm-59	199	45	,	,	PUNCT
arjefm-59	199	46	engle	engle	PROPN
arjefm-59	199	47	&	&	CCONJ
arjefm-59	199	48	murray	murray	PROPN
arjefm-59	199	49	,	,	PUNCT
arjefm-59	199	50	2016	2016	NUM
arjefm-59	199	51	)	)	PUNCT
arjefm-59	199	52	.	.	PUNCT
arjefm-59	200	1	further	far	ADV
arjefm-59	200	2	,	,	PUNCT
arjefm-59	200	3	in	in	ADP
arjefm-59	200	4	the	the	DET
arjefm-59	200	5	absence	absence	NOUN
arjefm-59	200	6	of	of	ADP
arjefm-59	200	7	market	market	NOUN
arjefm-59	200	8	imperfections	imperfection	NOUN
arjefm-59	200	9	merton	merton	NOUN
arjefm-59	200	10	(	(	PUNCT
arjefm-59	200	11	1987	1987	NUM
arjefm-59	200	12	)	)	PUNCT
arjefm-59	200	13	notes	note	VERB
arjefm-59	200	14	that	that	SCONJ
arjefm-59	200	15	theoretically	theoretically	ADV
arjefm-59	200	16	investors	investor	NOUN
arjefm-59	200	17	have	have	VERB
arjefm-59	200	18	zero	zero	NUM
arjefm-59	200	19	level	level	NOUN
arjefm-59	200	20	of	of	ADP
arjefm-59	200	21	exposure	exposure	NOUN
arjefm-59	200	22	to	to	ADP
arjefm-59	200	23	the	the	DET
arjefm-59	200	24	firm	firm	ADJ
arjefm-59	200	25	specific	specific	ADJ
arjefm-59	200	26	risk	risk	NOUN
arjefm-59	200	27	.	.	PUNCT
arjefm-59	201	1	however	however	ADV
arjefm-59	201	2	,	,	PUNCT
arjefm-59	201	3	the	the	DET
arjefm-59	201	4	empirical	empirical	ADJ
arjefm-59	201	5	studies	study	NOUN
arjefm-59	201	6	provide	provide	VERB
arjefm-59	201	7	strong	strong	ADJ
arjefm-59	201	8	evidence	evidence	NOUN
arjefm-59	201	9	against	against	ADP
arjefm-59	201	10	this	this	DET
arjefm-59	201	11	theoretical	theoretical	ADJ
arjefm-59	201	12	stance	stance	NOUN
arjefm-59	201	13	and	and	CCONJ
arjefm-59	201	14	highlight	highlight	VERB
arjefm-59	201	15	that	that	SCONJ
arjefm-59	201	16	investors	investor	NOUN
arjefm-59	201	17	are	be	AUX
arjefm-59	201	18	commanding	command	VERB
arjefm-59	201	19	reasonable	reasonable	ADJ
arjefm-59	201	20	compensation	compensation	NOUN
arjefm-59	201	21	for	for	ADP
arjefm-59	201	22	bearing	bear	VERB
arjefm-59	201	23	the	the	DET
arjefm-59	201	24	idiosyncratic	idiosyncratic	ADJ
arjefm-59	201	25	volatility	volatility	NOUN
arjefm-59	201	26	(	(	PUNCT
arjefm-59	201	27	ang	ang	INTJ
arjefm-59	201	28	et	et	PROPN
arjefm-59	201	29	al	al	PROPN
arjefm-59	201	30	.	.	PROPN
arjefm-59	201	31	,	,	PUNCT
arjefm-59	201	32	2006	2006	NUM
arjefm-59	201	33	;	;	PUNCT
arjefm-59	201	34	bali	bali	PROPN
arjefm-59	201	35	&	&	CCONJ
arjefm-59	201	36	cakici	cakici	PROPN
arjefm-59	201	37	,	,	PUNCT
arjefm-59	201	38	2008	2008	NUM
arjefm-59	201	39	;	;	PUNCT
arjefm-59	201	40	ang	ang	PROPN
arjefm-59	201	41	et	et	PROPN
arjefm-59	201	42	al	al	PROPN
arjefm-59	201	43	.	.	PROPN
arjefm-59	201	44	,	,	PUNCT
arjefm-59	201	45	2009	2009	NUM
arjefm-59	201	46	;	;	PUNCT
arjefm-59	201	47	fu	fu	PROPN
arjefm-59	201	48	,	,	PUNCT
arjefm-59	201	49	2009	2009	NUM
arjefm-59	201	50	)	)	PUNCT
arjefm-59	201	51	.	.	PUNCT
arjefm-59	202	1	this	this	DET
arjefm-59	202	2	study	study	NOUN
arjefm-59	202	3	attempted	attempt	VERB
arjefm-59	202	4	to	to	PART
arjefm-59	202	5	shed	shed	VERB
arjefm-59	202	6	a	a	DET
arjefm-59	202	7	light	light	NOUN
arjefm-59	202	8	on	on	ADP
arjefm-59	202	9	the	the	DET
arjefm-59	202	10	idiosyncratic	idiosyncratic	ADJ
arjefm-59	202	11	volatility	volatility	NOUN
arjefm-59	202	12	puzzle	puzzle	NOUN
arjefm-59	202	13	from	from	ADP
arjefm-59	202	14	a	a	DET
arjefm-59	202	15	south	south	ADJ
arjefm-59	202	16	asian	asian	ADJ
arjefm-59	202	17	market	market	NOUN
arjefm-59	202	18	point	point	NOUN
arjefm-59	202	19	view	view	NOUN
arjefm-59	202	20	where	where	SCONJ
arjefm-59	202	21	both	both	DET
arjefm-59	202	22	portfolio	portfolio	NOUN
arjefm-59	202	23	analysis	analysis	NOUN
arjefm-59	202	24	and	and	CCONJ
arjefm-59	202	25	grs	grs	PROPN
arjefm-59	202	26	test	test	NOUN
arjefm-59	202	27	results	result	NOUN
arjefm-59	202	28	confirmed	confirm	VERB
arjefm-59	202	29	the	the	DET
arjefm-59	202	30	presence	presence	NOUN
arjefm-59	202	31	of	of	ADP
arjefm-59	202	32	idiosyncratic	idiosyncratic	ADJ
arjefm-59	202	33	volatility	volatility	NOUN
arjefm-59	202	34	in	in	ADP
arjefm-59	202	35	the	the	DET
arjefm-59	202	36	sri	sri	ADJ
arjefm-59	202	37	lankan	lankan	PROPN
arjefm-59	202	38	context	context	NOUN
arjefm-59	202	39	.	.	PUNCT
arjefm-59	203	1	furthermore	furthermore	ADV
arjefm-59	203	2	,	,	PUNCT
arjefm-59	203	3	the	the	DET
arjefm-59	203	4	empirical	empirical	ADJ
arjefm-59	203	5	results	result	NOUN
arjefm-59	203	6	revealed	reveal	VERB
arjefm-59	203	7	that	that	SCONJ
arjefm-59	203	8	idiosyncratic	idiosyncratic	ADJ
arjefm-59	203	9	volatility	volatility	NOUN
arjefm-59	203	10	has	have	VERB
arjefm-59	203	11	a	a	DET
arjefm-59	203	12	statistically	statistically	ADV
arjefm-59	203	13	strong	strong	ADJ
arjefm-59	203	14	and	and	CCONJ
arjefm-59	203	15	positive	positive	ADJ
arjefm-59	203	16	influence	influence	NOUN
arjefm-59	203	17	on	on	ADP
arjefm-59	203	18	the	the	DET
arjefm-59	203	19	average	average	ADJ
arjefm-59	203	20	stock	stock	NOUN
arjefm-59	203	21	returns	return	NOUN
arjefm-59	203	22	.	.	PUNCT
arjefm-59	204	1	therefore	therefore	ADV
arjefm-59	204	2	,	,	PUNCT
arjefm-59	204	3	it	it	PRON
arjefm-59	204	4	indicates	indicate	VERB
arjefm-59	204	5	that	that	SCONJ
arjefm-59	204	6	investors	investor	NOUN
arjefm-59	204	7	expect	expect	VERB
arjefm-59	204	8	an	an	DET
arjefm-59	204	9	adequate	adequate	ADJ
arjefm-59	204	10	return	return	NOUN
arjefm-59	204	11	for	for	ADP
arjefm-59	204	12	bearing	bear	VERB
arjefm-59	204	13	idiosyncratic	idiosyncratic	ADJ
arjefm-59	204	14	risk	risk	NOUN
arjefm-59	204	15	.	.	PUNCT
arjefm-59	205	1	moreover	moreover	ADV
arjefm-59	205	2	,	,	PUNCT
arjefm-59	205	3	the	the	DET
arjefm-59	205	4	current	current	ADJ
arjefm-59	205	5	study	study	NOUN
arjefm-59	205	6	yields	yield	VERB
arjefm-59	205	7	some	some	DET
arjefm-59	205	8	novel	novel	ADJ
arjefm-59	205	9	striking	strike	VERB
arjefm-59	205	10	empirical	empirical	ADJ
arjefm-59	205	11	evidences	evidence	NOUN
arjefm-59	205	12	in	in	ADP
arjefm-59	205	13	terms	term	NOUN
arjefm-59	205	14	of	of	ADP
arjefm-59	205	15	the	the	DET
arjefm-59	205	16	characteristics	characteristic	NOUN
arjefm-59	205	17	of	of	ADP
arjefm-59	205	18	the	the	DET
arjefm-59	205	19	idiosyncratic	idiosyncratic	ADJ
arjefm-59	205	20	volatility	volatility	NOUN
arjefm-59	205	21	of	of	ADP
arjefm-59	205	22	stocks	stock	NOUN
arjefm-59	205	23	.	.	PUNCT
arjefm-59	206	1	accordingly	accordingly	ADV
arjefm-59	206	2	,	,	PUNCT
arjefm-59	206	3	the	the	DET
arjefm-59	206	4	results	result	NOUN
arjefm-59	206	5	of	of	ADP
arjefm-59	206	6	the	the	DET
arjefm-59	206	7	portfolio	portfolio	NOUN
arjefm-59	206	8	analysis	analysis	NOUN
arjefm-59	206	9	demonstrated	demonstrate	VERB
arjefm-59	206	10	that	that	SCONJ
arjefm-59	206	11	the	the	DET
arjefm-59	206	12	stocks	stock	NOUN
arjefm-59	206	13	with	with	ADP
arjefm-59	206	14	higheridiosyncratic	higheridiosyncratic	ADJ
arjefm-59	206	15	volatility	volatility	NOUN
arjefm-59	206	16	are	be	AUX
arjefm-59	206	17	less	less	ADV
arjefm-59	206	18	profitable	profitable	ADJ
arjefm-59	206	19	while	while	SCONJ
arjefm-59	206	20	having	have	VERB
arjefm-59	206	21	lower	low	ADJ
arjefm-59	206	22	growth	growth	NOUN
arjefm-59	206	23	prospects	prospect	NOUN
arjefm-59	206	24	.	.	PUNCT
arjefm-59	207	1	hence	hence	ADV
arjefm-59	207	2	,	,	PUNCT
arjefm-59	207	3	it	it	PRON
arjefm-59	207	4	seems	seem	VERB
arjefm-59	207	5	high	high	ADJ
arjefm-59	207	6	idiosyncratic	idiosyncratic	ADJ
arjefm-59	207	7	volatility	volatility	NOUN
arjefm-59	207	8	is	be	AUX
arjefm-59	207	9	coupled	couple	VERB
arjefm-59	207	10	with	with	ADP
arjefm-59	207	11	less	less	ADV
arjefm-59	207	12	profitable	profitable	ADJ
arjefm-59	207	13	firms	firm	NOUN
arjefm-59	207	14	with	with	ADP
arjefm-59	207	15	lower	low	ADJ
arjefm-59	207	16	level	level	NOUN
arjefm-59	207	17	of	of	ADP
arjefm-59	207	18	investments	investment	NOUN
arjefm-59	207	19	.	.	PUNCT
arjefm-59	208	1	moreover	moreover	ADV
arjefm-59	208	2	,	,	PUNCT
arjefm-59	208	3	it	it	PRON
arjefm-59	208	4	is	be	AUX
arjefm-59	208	5	also	also	ADV
arjefm-59	208	6	found	find	VERB
arjefm-59	208	7	that	that	SCONJ
arjefm-59	208	8	idiosyncratic	idiosyncratic	ADJ
arjefm-59	208	9	volatility	volatility	NOUN
arjefm-59	208	10	is	be	AUX
arjefm-59	208	11	high	high	ADJ
arjefm-59	208	12	with	with	ADP
arjefm-59	208	13	small	small	ADJ
arjefm-59	208	14	stocks	stock	NOUN
arjefm-59	208	15	.	.	PUNCT
arjefm-59	209	1	in	in	ADP
arjefm-59	209	2	other	other	ADJ
arjefm-59	209	3	words	word	NOUN
arjefm-59	209	4	,	,	PUNCT
arjefm-59	209	5	this	this	PRON
arjefm-59	209	6	indicates	indicate	VERB
arjefm-59	209	7	that	that	SCONJ
arjefm-59	209	8	small	small	ADJ
arjefm-59	209	9	stocks	stock	NOUN
arjefm-59	209	10	carry	carry	VERB
arjefm-59	209	11	high	high	ADJ
arjefm-59	209	12	idiosyncratic	idiosyncratic	ADJ
arjefm-59	209	13	volatility	volatility	NOUN
arjefm-59	209	14	while	while	SCONJ
arjefm-59	209	15	being	be	AUX
arjefm-59	209	16	exposed	expose	VERB
arjefm-59	209	17	to	to	ADP
arjefm-59	209	18	lower	low	ADJ
arjefm-59	209	19	level	level	NOUN
arjefm-59	209	20	of	of	ADP
arjefm-59	209	21	profits	profit	NOUN
arjefm-59	209	22	and	and	CCONJ
arjefm-59	209	23	investments	investment	NOUN
arjefm-59	209	24	.	.	PUNCT
arjefm-59	210	1	hence	hence	ADV
arjefm-59	210	2	,	,	PUNCT
arjefm-59	210	3	as	as	SCONJ
arjefm-59	210	4	fama	fama	PROPN
arjefm-59	210	5	and	and	CCONJ
arjefm-59	210	6	french	french	ADJ
arjefm-59	210	7	(	(	PUNCT
arjefm-59	210	8	2015	2015	NUM
arjefm-59	210	9	)	)	PUNCT
arjefm-59	210	10	argue	argue	PROPN
arjefm-59	210	11	,	,	PUNCT
arjefm-59	210	12	the	the	DET
arjefm-59	210	13	results	result	NOUN
arjefm-59	210	14	of	of	ADP
arjefm-59	210	15	the	the	DET
arjefm-59	210	16	current	current	ADJ
arjefm-59	210	17	study	study	NOUN
arjefm-59	210	18	also	also	ADV
arjefm-59	210	19	document	document	VERB
arjefm-59	210	20	that	that	SCONJ
arjefm-59	210	21	critical	critical	ADJ
arjefm-59	210	22	issues	issue	NOUN
arjefm-59	210	23	in	in	ADP
arjefm-59	210	24	asset	asset	NOUN
arjefm-59	210	25	pricing	pricing	NOUN
arjefm-59	210	26	models	model	NOUN
arjefm-59	210	27	are	be	AUX
arjefm-59	210	28	coupled	couple	VERB
arjefm-59	210	29	with	with	ADP
arjefm-59	210	30	small	small	ADJ
arjefm-59	210	31	stocks	stock	NOUN
arjefm-59	210	32	.	.	PUNCT
arjefm-59	211	1	thus	thus	ADV
arjefm-59	211	2	,	,	PUNCT
arjefm-59	211	3	one	one	NUM
arjefm-59	211	4	of	of	ADP
arjefm-59	211	5	the	the	DET
arjefm-59	211	6	key	key	ADJ
arjefm-59	211	7	messages	message	NOUN
arjefm-59	211	8	of	of	ADP
arjefm-59	211	9	this	this	DET
arjefm-59	211	10	study	study	NOUN
arjefm-59	211	11	is	be	AUX
arjefm-59	211	12	that	that	SCONJ
arjefm-59	211	13	it	it	PRON
arjefm-59	211	14	is	be	AUX
arjefm-59	211	15	still	still	ADV
arjefm-59	211	16	questionable	questionable	ADJ
arjefm-59	211	17	as	as	ADP
arjefm-59	211	18	to	to	ADP
arjefm-59	211	19	why	why	SCONJ
arjefm-59	211	20	there	there	PRON
arjefm-59	211	21	is	be	VERB
arjefm-59	211	22	a	a	DET
arjefm-59	211	23	high	high	ADJ
arjefm-59	211	24	demand	demand	NOUN
arjefm-59	211	25	for	for	ADP
arjefm-59	211	26	small	small	ADJ
arjefm-59	211	27	stocks	stock	NOUN
arjefm-59	211	28	in	in	ADP
arjefm-59	211	29	the	the	DET
arjefm-59	211	30	market	market	NOUN
arjefm-59	211	31	despite	despite	SCONJ
arjefm-59	211	32	their	their	PRON
arjefm-59	211	33	lower	low	ADJ
arjefm-59	211	34	level	level	NOUN
arjefm-59	211	35	of	of	ADP
arjefm-59	211	36	exposure	exposure	NOUN
arjefm-59	211	37	to	to	ADP
arjefm-59	211	38	profits	profit	NOUN
arjefm-59	211	39	and	and	CCONJ
arjefm-59	211	40	investments	investment	NOUN
arjefm-59	211	41	while	while	SCONJ
arjefm-59	211	42	bearing	bear	VERB
arjefm-59	211	43	a	a	DET
arjefm-59	211	44	higher	high	ADJ
arjefm-59	211	45	level	level	NOUN
arjefm-59	211	46	of	of	ADP
arjefm-59	211	47	idiosyncratic	idiosyncratic	ADJ
arjefm-59	211	48	volatility	volatility	NOUN
arjefm-59	211	49	.	.	PUNCT
arjefm-59	212	1	references	reference	NOUN
arjefm-59	212	2	abeysekera	abeysekera	NOUN
arjefm-59	212	3	,	,	PUNCT
arjefm-59	212	4	a.	a.	NOUN
arjefm-59	212	5	p.	p.	PROPN
arjefm-59	212	6	,	,	PUNCT
arjefm-59	212	7	&	&	CCONJ
arjefm-59	212	8	nimal	nimal	PROPN
arjefm-59	212	9	,	,	PUNCT
arjefm-59	212	10	p.	p.	PROPN
arjefm-59	212	11	d.	d.	PROPN
arjefm-59	212	12	(	(	PUNCT
arjefm-59	212	13	2016	2016	NUM
arjefm-59	212	14	)	)	PUNCT
arjefm-59	212	15	.	.	PUNCT
arjefm-59	213	1	the	the	DET
arjefm-59	213	2	impact	impact	NOUN
arjefm-59	213	3	of	of	ADP
arjefm-59	213	4	the	the	DET
arjefm-59	213	5	financial	financial	ADJ
arjefm-59	213	6	sector	sector	NOUN
arjefm-59	213	7	on	on	ADP
arjefm-59	213	8	asset	asset	NOUN
arjefm-59	213	9	pricing	pricing	NOUN
arjefm-59	213	10	tests	test	NOUN
arjefm-59	213	11	:	:	PUNCT
arjefm-59	213	12	evidence	evidence	NOUN
arjefm-59	213	13	from	from	ADP
arjefm-59	213	14	the	the	DET
arjefm-59	213	15	colombo	colombo	NOUN
arjefm-59	213	16	stock	stock	NOUN
arjefm-59	213	17	exchange	exchange	PROPN
arjefm-59	213	18	.	.	PUNCT
arjefm-59	214	1	asian	asian	ADJ
arjefm-59	214	2	journal	journal	PROPN
arjefm-59	214	3	of	of	ADP
arjefm-59	214	4	finance	finance	PROPN
arjefm-59	214	5	&	&	CCONJ
arjefm-59	214	6	accounting	accounting	PROPN
arjefm-59	214	7	,	,	PUNCT
arjefm-59	214	8	8(2	8(2	NUM
arjefm-59	214	9	)	)	PUNCT
arjefm-59	214	10	,	,	PUNCT
arjefm-59	214	11	113	113	NUM
arjefm-59	214	12	–	–	SYM
arjefm-59	214	13	124	124	NUM
arjefm-59	214	14	.	.	PUNCT
arjefm-59	214	15	abeysekera	abeysekera	NOUN
arjefm-59	214	16	,	,	PUNCT
arjefm-59	214	17	a.	a.	NOUN
arjefm-59	214	18	p.	p.	PROPN
arjefm-59	214	19	,	,	PUNCT
arjefm-59	214	20	&	&	CCONJ
arjefm-59	214	21	nimal	nimal	PROPN
arjefm-59	214	22	,	,	PUNCT
arjefm-59	214	23	p.	p.	PROPN
arjefm-59	214	24	d.	d.	PROPN
arjefm-59	214	25	(	(	PUNCT
arjefm-59	214	26	2017	2017	NUM
arjefm-59	214	27	)	)	PUNCT
arjefm-59	214	28	.	.	PUNCT
arjefm-59	215	1	the	the	DET
arjefm-59	215	2	four	four	NUM
arjefm-59	215	3	-	-	PUNCT
arjefm-59	215	4	factor	factor	NOUN
arjefm-59	215	5	model	model	NOUN
arjefm-59	215	6	and	and	CCONJ
arjefm-59	215	7	stock	stock	NOUN
arjefm-59	215	8	returns	return	NOUN
arjefm-59	215	9	:	:	PUNCT
arjefm-59	215	10	evidence	evidence	NOUN
arjefm-59	215	11	from	from	ADP
arjefm-59	215	12	sri	sri	PROPN
arjefm-59	215	13	lanka	lanka	PROPN
arjefm-59	215	14	.	.	PUNCT
arjefm-59	216	1	afroasian	afroasian	PROPN
arjefm-59	216	2	journal	journal	PROPN
arjefm-59	216	3	of	of	ADP
arjefm-59	216	4	finance	finance	NOUN
arjefm-59	216	5	and	and	CCONJ
arjefm-59	216	6	accounting	accounting	NOUN
arjefm-59	216	7	,	,	PUNCT
arjefm-59	216	8	7(1	7(1	NUM
arjefm-59	216	9	)	)	PUNCT
arjefm-59	216	10	,	,	PUNCT
arjefm-59	216	11	1–15	1–15	NUM
arjefm-59	216	12	.	.	PUNCT
arjefm-59	217	1	amihud	amihud	PROPN
arjefm-59	217	2	,	,	PUNCT
arjefm-59	217	3	y.	y.	PROPN
arjefm-59	217	4	(	(	PUNCT
arjefm-59	217	5	2002	2002	NUM
arjefm-59	217	6	)	)	PUNCT
arjefm-59	217	7	.	.	PUNCT
arjefm-59	218	1	illiquidity	illiquidity	NOUN
arjefm-59	218	2	and	and	CCONJ
arjefm-59	218	3	stock	stock	NOUN
arjefm-59	218	4	returns	return	NOUN
arjefm-59	218	5	:	:	PUNCT
arjefm-59	218	6	cross	cross	NOUN
arjefm-59	218	7	-	-	NOUN
arjefm-59	218	8	section	section	NOUN
arjefm-59	218	9	and	and	CCONJ
arjefm-59	218	10	time	time	NOUN
arjefm-59	218	11	-	-	PUNCT
arjefm-59	218	12	series	series	NOUN
arjefm-59	218	13	effects	effect	NOUN
arjefm-59	218	14	.	.	PUNCT
arjefm-59	219	1	journal	journal	NOUN
arjefm-59	219	2	of	of	ADP
arjefm-59	219	3	financial	financial	ADJ
arjefm-59	219	4	markets	market	NOUN
arjefm-59	219	5	,	,	PUNCT
arjefm-59	219	6	5(1	5(1	NUM
arjefm-59	219	7	)	)	PUNCT
arjefm-59	219	8	,	,	PUNCT
arjefm-59	219	9	31–56	31–56	NUM
arjefm-59	219	10	.	.	PUNCT
arjefm-59	220	1	amihud	amihud	PROPN
arjefm-59	220	2	,	,	PUNCT
arjefm-59	220	3	y.	y.	PROPN
arjefm-59	220	4	,	,	PUNCT
arjefm-59	220	5	&	&	CCONJ
arjefm-59	220	6	mendelson	mendelson	PROPN
arjefm-59	220	7	,	,	PUNCT
arjefm-59	220	8	h.	h.	PROPN
arjefm-59	220	9	(	(	PUNCT
arjefm-59	220	10	1986	1986	NUM
arjefm-59	220	11	)	)	PUNCT
arjefm-59	220	12	.	.	PUNCT
arjefm-59	221	1	asset	asset	NOUN
arjefm-59	221	2	pricing	pricing	NOUN
arjefm-59	221	3	and	and	CCONJ
arjefm-59	221	4	the	the	DET
arjefm-59	221	5	bid	bid	NOUN
arjefm-59	221	6	-	-	PUNCT
arjefm-59	221	7	ask	ask	NOUN
arjefm-59	221	8	spread	spread	NOUN
arjefm-59	221	9	.	.	PUNCT
arjefm-59	222	1	journal	journal	NOUN
arjefm-59	222	2	of	of	ADP
arjefm-59	222	3	financial	financial	ADJ
arjefm-59	222	4	economics	economic	NOUN
arjefm-59	222	5	,	,	PUNCT
arjefm-59	222	6	17(2	17(2	NUM
arjefm-59	222	7	)	)	PUNCT
arjefm-59	222	8	,	,	PUNCT
arjefm-59	222	9	223	223	NUM
arjefm-59	222	10	–	–	PUNCT
arjefm-59	222	11	249	249	NUM
arjefm-59	222	12	.	.	PUNCT
arjefm-59	223	1	ang	ang	PROPN
arjefm-59	223	2	,	,	PUNCT
arjefm-59	223	3	a.	a.	PROPN
arjefm-59	223	4	,	,	PUNCT
arjefm-59	223	5	hodrick	hodrick	PROPN
arjefm-59	223	6	,	,	PUNCT
arjefm-59	223	7	r.	r.	PROPN
arjefm-59	223	8	j.	j.	PROPN
arjefm-59	223	9	,	,	PUNCT
arjefm-59	223	10	xing	xing	PROPN
arjefm-59	223	11	,	,	PUNCT
arjefm-59	223	12	y.	y.	PROPN
arjefm-59	223	13	,	,	PUNCT
arjefm-59	223	14	&	&	CCONJ
arjefm-59	223	15	zhang	zhang	PROPN
arjefm-59	223	16	,	,	PUNCT
arjefm-59	223	17	x.	x.	PROPN
arjefm-59	223	18	(	(	PUNCT
arjefm-59	223	19	2006).the	2006).the	PRON
arjefm-59	223	20	cross	cross	NOUN
arjefm-59	223	21	-	-	NOUN
arjefm-59	223	22	section	section	NOUN
arjefm-59	223	23	of	of	ADP
arjefm-59	223	24	volatility	volatility	NOUN
arjefm-59	223	25	and	and	CCONJ
arjefm-59	223	26	expected	expect	VERB
arjefm-59	223	27	returns	return	NOUN
arjefm-59	223	28	,	,	PUNCT
arjefm-59	223	29	thejournal	thejournal	NOUN
arjefm-59	223	30	of	of	ADP
arjefm-59	223	31	finance	finance	NOUN
arjefm-59	223	32	,	,	PUNCT
arjefm-59	223	33	61(1	61(1	NOUN
arjefm-59	223	34	)	)	PUNCT
arjefm-59	223	35	,	,	PUNCT
arjefm-59	223	36	259–299	259–299	NUM
arjefm-59	223	37	.	.	PUNCT
arjefm-59	224	1	mailto:contact@americaserial.com	mailto:contact@americaserial.com	PROPN
arjefm-59	224	2	mailto:contact@americaserial.com	mailto:contact@americaserial.com	PROPN
arjefm-59	225	1	american	american	PROPN
arjefm-59	225	2	research	research	PROPN
arjefm-59	225	3	journal	journal	PROPN
arjefm-59	225	4	of	of	ADP
arjefm-59	225	5	economics	economic	NOUN
arjefm-59	225	6	,	,	PUNCT
arjefm-59	225	7	finance	finance	NOUN
arjefm-59	225	8	and	and	CCONJ
arjefm-59	225	9	management	management	NOUN
arjefm-59	225	10	volume	volume	NOUN
arjefm-59	225	11	10	10	NUM
arjefm-59	225	12	issue	issue	NOUN
arjefm-59	225	13	1	1	NUM
arjefm-59	225	14	,	,	PUNCT
arjefm-59	225	15	january	january	PROPN
arjefm-59	225	16	-	-	PUNCT
arjefm-59	225	17	march	march	PROPN
arjefm-59	225	18	2022	2022	NUM
arjefm-59	225	19	issn	issn	NOUN
arjefm-59	225	20	:	:	PUNCT
arjefm-59	225	21	2836	2836	NUM
arjefm-59	225	22	-	-	SYM
arjefm-59	225	23	9416	9416	NUM
arjefm-59	225	24	impact	impact	NOUN
arjefm-59	225	25	factor	factor	NOUN
arjefm-59	225	26	:	:	PUNCT
arjefm-59	225	27	4.85	4.85	NUM
arjefm-59	225	28	journal	journal	NOUN
arjefm-59	225	29	homepage	homepage	NOUN
arjefm-59	225	30	:	:	PUNCT
arjefm-59	225	31	https://americaserial.com/journals/index.php/arjefm	https://americaserial.com/journals/index.php/arjefm	NOUN
arjefm-59	225	32	,	,	PUNCT
arjefm-59	225	33	email	email	NOUN
arjefm-59	225	34	:	:	PUNCT
arjefm-59	226	1	contact@americaserial.com	contact@americaserial.com	PROPN
arjefm-59	226	2	official	official	ADJ
arjefm-59	226	3	journal	journal	PROPN
arjefm-59	226	4	of	of	ADP
arjefm-59	226	5	america	america	PROPN
arjefm-59	226	6	serial	serial	PROPN
arjefm-59	226	7	publication	publication	NOUN
arjefm-59	226	8	american	american	PROPN
arjefm-59	226	9	research	research	PROPN
arjefm-59	226	10	journal	journal	PROPN
arjefm-59	226	11	of	of	ADP
arjefm-59	226	12	economics	economic	NOUN
arjefm-59	226	13	,	,	PUNCT
arjefm-59	226	14	finance	finance	NOUN
arjefm-59	226	15	and	and	CCONJ
arjefm-59	226	16	management	management	NOUN
arjefm-59	226	17	https://americaserial.com/journals/index.php/arjefm	https://americaserial.com/journals/index.php/arjefm	NOUN
arjefm-59	226	18	,	,	PUNCT
arjefm-59	226	19	email	email	NOUN
arjefm-59	226	20	:	:	PUNCT
arjefm-59	226	21	contact@americaserial.com	contact@americaserial.com	X
arjefm-59	227	1	11	11	NUM
arjefm-59	228	1	|	|	ADV
arjefm-59	228	2	p	p	X
arjefm-59	228	3	a	a	DET
arjefm-59	228	4	g	g	PROPN
arjefm-59	228	5	e	e	PROPN
arjefm-59	228	6	ang	ang	PROPN
arjefm-59	228	7	,	,	PUNCT
arjefm-59	228	8	a.	a.	PROPN
arjefm-59	228	9	,	,	PUNCT
arjefm-59	228	10	hodrick	hodrick	PROPN
arjefm-59	228	11	,	,	PUNCT
arjefm-59	228	12	r.	r.	PROPN
arjefm-59	228	13	j.	j.	PROPN
arjefm-59	228	14	,	,	PUNCT
arjefm-59	228	15	xing	xing	PROPN
arjefm-59	228	16	,	,	PUNCT
arjefm-59	228	17	y.	y.	PROPN
arjefm-59	228	18	,	,	PUNCT
arjefm-59	228	19	&	&	CCONJ
arjefm-59	228	20	zhang	zhang	PROPN
arjefm-59	228	21	,	,	PUNCT
arjefm-59	228	22	x.	x.	PROPN
arjefm-59	228	23	(	(	PUNCT
arjefm-59	228	24	2009	2009	NUM
arjefm-59	228	25	)	)	PUNCT
arjefm-59	228	26	.	.	PUNCT
arjefm-59	229	1	high	high	ADJ
arjefm-59	229	2	idiosyncratic	idiosyncratic	ADJ
arjefm-59	229	3	volatility	volatility	NOUN
arjefm-59	229	4	and	and	CCONJ
arjefm-59	229	5	low	low	ADJ
arjefm-59	229	6	returns	return	NOUN
arjefm-59	229	7	:	:	PUNCT
arjefm-59	229	8	international	international	ADJ
arjefm-59	229	9	and	and	CCONJ
arjefm-59	229	10	further	further	ADJ
arjefm-59	229	11	us	us	PROPN
arjefm-59	229	12	evidence	evidence	NOUN
arjefm-59	229	13	,	,	PUNCT
arjefm-59	229	14	journal	journal	NOUN
arjefm-59	229	15	of	of	ADP
arjefm-59	229	16	financial	financial	ADJ
arjefm-59	229	17	economics	economic	NOUN
arjefm-59	229	18	,	,	PUNCT
arjefm-59	229	19	91(1	91(1	NUM
arjefm-59	229	20	)	)	PUNCT
arjefm-59	229	21	,	,	PUNCT
arjefm-59	229	22	1–23	1–23	PROPN
arjefm-59	229	23	.	.	PUNCT
arjefm-59	229	24	bali	bali	PROPN
arjefm-59	229	25	,	,	PUNCT
arjefm-59	229	26	t.	t.	PROPN
arjefm-59	229	27	g.	g.	PROPN
arjefm-59	229	28	,	,	PUNCT
arjefm-59	229	29	&	&	CCONJ
arjefm-59	229	30	cakici	cakici	NOUN
arjefm-59	229	31	,	,	PUNCT
arjefm-59	229	32	n.	n.	NOUN
arjefm-59	229	33	(	(	PUNCT
arjefm-59	229	34	2008	2008	NUM
arjefm-59	229	35	)	)	PUNCT
arjefm-59	229	36	.	.	PUNCT
arjefm-59	230	1	idiosyncratic	idiosyncratic	ADJ
arjefm-59	230	2	volatility	volatility	NOUN
arjefm-59	230	3	and	and	CCONJ
arjefm-59	230	4	the	the	DET
arjefm-59	230	5	cross	cross	NOUN
arjefm-59	230	6	section	section	NOUN
arjefm-59	230	7	of	of	ADP
arjefm-59	230	8	expected	expect	VERB
arjefm-59	230	9	returns?journal	returns?journal	PROPN
arjefm-59	230	10	of	of	ADP
arjefm-59	230	11	financial	financial	ADJ
arjefm-59	230	12	and	and	CCONJ
arjefm-59	230	13	quantitative	quantitative	ADJ
arjefm-59	230	14	analysis	analysis	NOUN
arjefm-59	230	15	,	,	PUNCT
arjefm-59	230	16	43(1	43(1	NOUN
arjefm-59	230	17	)	)	PUNCT
arjefm-59	230	18	,	,	PUNCT
arjefm-59	230	19	29–58	29–58	NUM
arjefm-59	230	20	.	.	PUNCT
arjefm-59	231	1	bali	bali	PROPN
arjefm-59	231	2	,	,	PUNCT
arjefm-59	231	3	t.	t.	PROPN
arjefm-59	231	4	g.	g.	PROPN
arjefm-59	231	5	,	,	PUNCT
arjefm-59	231	6	cakici	cakici	NOUN
arjefm-59	231	7	,	,	PUNCT
arjefm-59	231	8	n.	n.	NOUN
arjefm-59	231	9	,	,	PUNCT
arjefm-59	231	10	&	&	CCONJ
arjefm-59	231	11	whitelaw	whitelaw	PROPN
arjefm-59	231	12	,	,	PUNCT
arjefm-59	231	13	r.	r.	PROPN
arjefm-59	231	14	f.	f.	PROPN
arjefm-59	231	15	(	(	PUNCT
arjefm-59	231	16	2011	2011	NUM
arjefm-59	231	17	)	)	PUNCT
arjefm-59	231	18	.	.	PUNCT
arjefm-59	232	1	maxing	maxe	VERB
arjefm-59	232	2	out	out	ADP
arjefm-59	232	3	:	:	PUNCT
arjefm-59	232	4	stocks	stock	NOUN
arjefm-59	232	5	as	as	ADP
arjefm-59	232	6	lotteries	lottery	NOUN
arjefm-59	232	7	and	and	CCONJ
arjefm-59	232	8	the	the	DET
arjefm-59	232	9	cross	cross	NOUN
arjefm-59	232	10	-	-	NOUN
arjefm-59	232	11	section	section	NOUN
arjefm-59	232	12	of	of	ADP
arjefm-59	232	13	expected	expect	VERB
arjefm-59	232	14	returns	return	NOUN
arjefm-59	232	15	.	.	PUNCT
arjefm-59	233	1	journal	journal	NOUN
arjefm-59	233	2	of	of	ADP
arjefm-59	233	3	financial	financial	ADJ
arjefm-59	233	4	economics	economic	NOUN
arjefm-59	233	5	,	,	PUNCT
arjefm-59	233	6	99(2	99(2	NOUN
arjefm-59	233	7	)	)	PUNCT
arjefm-59	233	8	,	,	PUNCT
arjefm-59	233	9	427–446	427–446	NUM
arjefm-59	233	10	.	.	PUNCT
arjefm-59	233	11	bali	bali	PROPN
arjefm-59	233	12	,	,	PUNCT
arjefm-59	233	13	t.	t.	PROPN
arjefm-59	233	14	g.	g.	PROPN
arjefm-59	233	15	,	,	PUNCT
arjefm-59	233	16	engle	engle	PROPN
arjefm-59	233	17	,	,	PUNCT
arjefm-59	233	18	r.	r.	PROPN
arjefm-59	233	19	f.	f.	PROPN
arjefm-59	233	20	,	,	PUNCT
arjefm-59	233	21	&	&	CCONJ
arjefm-59	233	22	murray	murray	PROPN
arjefm-59	233	23	,	,	PUNCT
arjefm-59	233	24	s.	s.	PROPN
arjefm-59	233	25	(	(	PUNCT
arjefm-59	233	26	2016	2016	NUM
arjefm-59	233	27	)	)	PUNCT
arjefm-59	233	28	.	.	PUNCT
arjefm-59	234	1	empirical	empirical	ADJ
arjefm-59	234	2	asset	asset	NOUN
arjefm-59	234	3	pricing	pricing	NOUN
arjefm-59	234	4	:	:	PUNCT
arjefm-59	234	5	the	the	DET
arjefm-59	234	6	cross	cross	NOUN
arjefm-59	234	7	section	section	NOUN
arjefm-59	234	8	of	of	ADP
arjefm-59	234	9	stock	stock	NOUN
arjefm-59	234	10	returns	return	NOUN
arjefm-59	234	11	.	.	PUNCT
arjefm-59	235	1	hoboken	hoboken	PROPN
arjefm-59	235	2	,	,	PUNCT
arjefm-59	235	3	nj	nj	PROPN
arjefm-59	235	4	:	:	PUNCT
arjefm-59	235	5	john	john	PROPN
arjefm-59	235	6	wiley	wiley	PROPN
arjefm-59	235	7	&	&	CCONJ
arjefm-59	235	8	sons	sons	PROPN
arjefm-59	235	9	,	,	PUNCT
arjefm-59	235	10	inc	inc	PROPN
arjefm-59	235	11	.	.	PROPN
arjefm-59	235	12	carhart	carhart	PROPN
arjefm-59	235	13	,	,	PUNCT
arjefm-59	235	14	m.	m.	NOUN
arjefm-59	235	15	m.	m.	NOUN
arjefm-59	235	16	(	(	PUNCT
arjefm-59	235	17	1997	1997	NUM
arjefm-59	235	18	)	)	PUNCT
arjefm-59	235	19	.	.	PUNCT
arjefm-59	236	1	on	on	ADP
arjefm-59	236	2	persistence	persistence	NOUN
arjefm-59	236	3	in	in	ADP
arjefm-59	236	4	mutual	mutual	ADJ
arjefm-59	236	5	fund	fund	NOUN
arjefm-59	236	6	performance.the	performance.the	DET
arjefm-59	236	7	journal	journal	NOUN
arjefm-59	236	8	of	of	ADP
arjefm-59	236	9	finance	finance	NOUN
arjefm-59	236	10	,	,	PUNCT
arjefm-59	236	11	52(1	52(1	NOUN
arjefm-59	236	12	)	)	PUNCT
arjefm-59	236	13	,	,	PUNCT
arjefm-59	236	14	57	57	NUM
arjefm-59	236	15	–	–	SYM
arjefm-59	236	16	82	82	NUM
arjefm-59	236	17	.	.	PUNCT
arjefm-59	236	18	fabozzi	fabozzi	PROPN
arjefm-59	236	19	,	,	PUNCT
arjefm-59	236	20	f.	f.	PROPN
arjefm-59	236	21	j.	j.	PROPN
arjefm-59	236	22	,	,	PUNCT
arjefm-59	236	23	gupta	gupta	PROPN
arjefm-59	236	24	,	,	PUNCT
arjefm-59	236	25	f.	f.	PROPN
arjefm-59	236	26	,	,	PUNCT
arjefm-59	236	27	&	&	CCONJ
arjefm-59	236	28	markowitz	markowitz	PROPN
arjefm-59	236	29	,	,	PUNCT
arjefm-59	236	30	h.	h.	PROPN
arjefm-59	236	31	m.	m.	PROPN
arjefm-59	236	32	(	(	PUNCT
arjefm-59	236	33	2002	2002	NUM
arjefm-59	236	34	)	)	PUNCT
arjefm-59	236	35	.	.	PUNCT
arjefm-59	237	1	the	the	DET
arjefm-59	237	2	legacy	legacy	NOUN
arjefm-59	237	3	of	of	ADP
arjefm-59	237	4	modern	modern	ADJ
arjefm-59	237	5	portfolio	portfolio	NOUN
arjefm-59	237	6	theory	theory	NOUN
arjefm-59	237	7	.	.	PUNCT
arjefm-59	238	1	the	the	DET
arjefm-59	238	2	journal	journal	NOUN
arjefm-59	238	3	of	of	ADP
arjefm-59	238	4	investing	investing	PROPN
arjefm-59	238	5	,	,	PUNCT
arjefm-59	238	6	11(3	11(3	NUM
arjefm-59	238	7	)	)	PUNCT
arjefm-59	238	8	,	,	PUNCT
arjefm-59	238	9	7–22	7–22	NOUN
arjefm-59	238	10	.	.	PUNCT
arjefm-59	239	1	fama	fama	PROPN
arjefm-59	239	2	,	,	PUNCT
arjefm-59	239	3	e.	e.	PROPN
arjefm-59	239	4	f.	f.	PROPN
arjefm-59	239	5	(	(	PUNCT
arjefm-59	239	6	1998	1998	NUM
arjefm-59	239	7	)	)	PUNCT
arjefm-59	239	8	.	.	PUNCT
arjefm-59	240	1	market	market	NOUN
arjefm-59	240	2	efficiency	efficiency	NOUN
arjefm-59	240	3	,	,	PUNCT
arjefm-59	240	4	long	long	ADJ
arjefm-59	240	5	-	-	PUNCT
arjefm-59	240	6	term	term	NOUN
arjefm-59	240	7	returns	return	NOUN
arjefm-59	240	8	,	,	PUNCT
arjefm-59	240	9	and	and	CCONJ
arjefm-59	240	10	behavioral	behavioral	ADJ
arjefm-59	240	11	finance.journal	finance.journal	ADJ
arjefm-59	240	12	of	of	ADP
arjefm-59	240	13	financial	financial	ADJ
arjefm-59	240	14	economics	economic	NOUN
arjefm-59	240	15	,	,	PUNCT
arjefm-59	240	16	49(3	49(3	PROPN
arjefm-59	240	17	)	)	PUNCT
arjefm-59	240	18	,	,	PUNCT
arjefm-59	240	19	283–306	283–306	NUM
arjefm-59	240	20	.	.	PUNCT
arjefm-59	241	1	fama	fama	PROPN
arjefm-59	241	2	,	,	PUNCT
arjefm-59	241	3	e.	e.	PROPN
arjefm-59	241	4	f.	f.	PROPN
arjefm-59	241	5	,	,	PUNCT
arjefm-59	241	6	&	&	CCONJ
arjefm-59	241	7	french	french	PROPN
arjefm-59	241	8	,	,	PUNCT
arjefm-59	241	9	k.	k.	PROPN
arjefm-59	241	10	r.	r.	PROPN
arjefm-59	241	11	,	,	PUNCT
arjefm-59	241	12	(	(	PUNCT
arjefm-59	241	13	1992	1992	NUM
arjefm-59	241	14	)	)	PUNCT
arjefm-59	241	15	.	.	PUNCT
arjefm-59	242	1	the	the	DET
arjefm-59	242	2	cross	cross	NOUN
arjefm-59	242	3	-	-	NOUN
arjefm-59	242	4	section	section	NOUN
arjefm-59	242	5	of	of	ADP
arjefm-59	242	6	expected	expect	VERB
arjefm-59	242	7	stock	stock	NOUN
arjefm-59	242	8	returns	return	NOUN
arjefm-59	242	9	.	.	PUNCT
arjefm-59	243	1	thejournal	thejournal	ADJ
arjefm-59	243	2	of	of	ADP
arjefm-59	243	3	finance	finance	NOUN
arjefm-59	243	4	,	,	PUNCT
arjefm-59	243	5	47(2	47(2	PROPN
arjefm-59	243	6	)	)	PUNCT
arjefm-59	243	7	,	,	PUNCT
arjefm-59	243	8	427–65	427–65	NUM
arjefm-59	243	9	.	.	PUNCT
arjefm-59	244	1	fama	fama	PROPN
arjefm-59	244	2	,	,	PUNCT
arjefm-59	244	3	e.	e.	PROPN
arjefm-59	244	4	f.	f.	PROPN
arjefm-59	244	5	,	,	PUNCT
arjefm-59	244	6	&	&	CCONJ
arjefm-59	244	7	french	french	PROPN
arjefm-59	244	8	,	,	PUNCT
arjefm-59	244	9	k.	k.	PROPN
arjefm-59	244	10	r.	r.	PROPN
arjefm-59	244	11	,	,	PUNCT
arjefm-59	244	12	(	(	PUNCT
arjefm-59	244	13	1993).common	1993).common	NUM
arjefm-59	244	14	risk	risk	NOUN
arjefm-59	244	15	factors	factor	NOUN
arjefm-59	244	16	in	in	ADP
arjefm-59	244	17	the	the	DET
arjefm-59	244	18	returns	return	NOUN
arjefm-59	244	19	on	on	ADP
arjefm-59	244	20	stocks	stock	NOUN
arjefm-59	244	21	and	and	CCONJ
arjefm-59	244	22	bonds.journal	bonds.journal	PROPN
arjefm-59	244	23	of	of	ADP
arjefm-59	244	24	financial	financial	ADJ
arjefm-59	244	25	economics	economic	NOUN
arjefm-59	244	26	,	,	PUNCT
arjefm-59	244	27	33(1	33(1	NUM
arjefm-59	244	28	)	)	PUNCT
arjefm-59	244	29	,	,	PUNCT
arjefm-59	244	30	3–56	3–56	NOUN
arjefm-59	244	31	.	.	PUNCT
arjefm-59	245	1	fama	fama	PROPN
arjefm-59	245	2	,	,	PUNCT
arjefm-59	245	3	e.	e.	PROPN
arjefm-59	245	4	f.	f.	PROPN
arjefm-59	245	5	,	,	PUNCT
arjefm-59	245	6	&	&	CCONJ
arjefm-59	245	7	french	french	PROPN
arjefm-59	245	8	,	,	PUNCT
arjefm-59	245	9	k.	k.	PROPN
arjefm-59	245	10	r.	r.	PROPN
arjefm-59	245	11	(	(	PUNCT
arjefm-59	245	12	2004	2004	NUM
arjefm-59	245	13	)	)	PUNCT
arjefm-59	245	14	.	.	PUNCT
arjefm-59	246	1	the	the	DET
arjefm-59	246	2	capital	capital	NOUN
arjefm-59	246	3	asset	asset	NOUN
arjefm-59	246	4	pricing	pricing	NOUN
arjefm-59	246	5	model	model	NOUN
arjefm-59	246	6	:	:	PUNCT
arjefm-59	246	7	theory	theory	NOUN
arjefm-59	246	8	and	and	CCONJ
arjefm-59	246	9	evidence	evidence	NOUN
arjefm-59	246	10	.	.	PUNCT
arjefm-59	247	1	journal	journal	NOUN
arjefm-59	247	2	of	of	ADP
arjefm-59	247	3	economic	economic	ADJ
arjefm-59	247	4	perspectives	perspective	NOUN
arjefm-59	247	5	,	,	PUNCT
arjefm-59	247	6	18(3	18(3	NUM
arjefm-59	247	7	)	)	PUNCT
arjefm-59	247	8	,	,	PUNCT
arjefm-59	247	9	25–46	25–46	NUM
arjefm-59	247	10	.	.	PUNCT
arjefm-59	248	1	fama	fama	PROPN
arjefm-59	248	2	,	,	PUNCT
arjefm-59	248	3	e.	e.	PROPN
arjefm-59	248	4	f.	f.	PROPN
arjefm-59	248	5	,	,	PUNCT
arjefm-59	248	6	&	&	CCONJ
arjefm-59	248	7	french	french	PROPN
arjefm-59	248	8	,	,	PUNCT
arjefm-59	248	9	k.	k.	PROPN
arjefm-59	248	10	r.	r.	PROPN
arjefm-59	248	11	(	(	PUNCT
arjefm-59	248	12	2012	2012	NUM
arjefm-59	248	13	)	)	PUNCT
arjefm-59	248	14	.	.	PUNCT
arjefm-59	249	1	size	size	NOUN
arjefm-59	249	2	,	,	PUNCT
arjefm-59	249	3	value	value	NOUN
arjefm-59	249	4	,	,	PUNCT
arjefm-59	249	5	momentum	momentum	NOUN
arjefm-59	249	6	in	in	ADP
arjefm-59	249	7	international	international	ADJ
arjefm-59	249	8	stock	stock	NOUN
arjefm-59	249	9	returns	return	NOUN
arjefm-59	249	10	.	.	PUNCT
arjefm-59	250	1	journal	journal	NOUN
arjefm-59	250	2	of	of	ADP
arjefm-59	250	3	financial	financial	ADJ
arjefm-59	250	4	economics	economic	NOUN
arjefm-59	250	5	,	,	PUNCT
arjefm-59	250	6	105	105	NUM
arjefm-59	250	7	,	,	PUNCT
arjefm-59	250	8	457–472	457–472	NUM
arjefm-59	250	9	.	.	PUNCT
arjefm-59	251	1	fama	fama	PROPN
arjefm-59	251	2	,	,	PUNCT
arjefm-59	251	3	e.	e.	PROPN
arjefm-59	251	4	f.	f.	PROPN
arjefm-59	251	5	,	,	PUNCT
arjefm-59	251	6	&	&	CCONJ
arjefm-59	251	7	french	french	PROPN
arjefm-59	251	8	,	,	PUNCT
arjefm-59	251	9	k.	k.	PROPN
arjefm-59	251	10	r.	r.	PROPN
arjefm-59	251	11	(	(	PUNCT
arjefm-59	251	12	2015).a	2015).a	NUM
arjefm-59	251	13	five	five	NUM
arjefm-59	251	14	-	-	PUNCT
arjefm-59	251	15	factor	factor	NOUN
arjefm-59	251	16	asset	asset	NOUN
arjefm-59	251	17	pricing	pricing	NOUN
arjefm-59	251	18	model.journal	model.journal	ADJ
arjefm-59	251	19	of	of	ADP
arjefm-59	251	20	financial	financial	ADJ
arjefm-59	251	21	economics	economic	NOUN
arjefm-59	251	22	,	,	PUNCT
arjefm-59	251	23	116	116	NUM
arjefm-59	251	24	,	,	PUNCT
arjefm-59	251	25	1–22	1–22	NOUN
arjefm-59	251	26	.	.	PUNCT
arjefm-59	252	1	fu	fu	PROPN
arjefm-59	252	2	,	,	PUNCT
arjefm-59	252	3	f.	f.	PROPN
arjefm-59	252	4	(	(	PUNCT
arjefm-59	252	5	2009	2009	NUM
arjefm-59	252	6	)	)	PUNCT
arjefm-59	252	7	.	.	PUNCT
arjefm-59	253	1	idiosyncratic	idiosyncratic	ADJ
arjefm-59	253	2	risk	risk	NOUN
arjefm-59	253	3	and	and	CCONJ
arjefm-59	253	4	the	the	DET
arjefm-59	253	5	cross	cross	NOUN
arjefm-59	253	6	-	-	NOUN
arjefm-59	253	7	section	section	NOUN
arjefm-59	253	8	of	of	ADP
arjefm-59	253	9	expected	expect	VERB
arjefm-59	253	10	stock	stock	NOUN
arjefm-59	253	11	returns	return	NOUN
arjefm-59	253	12	.	.	PUNCT
arjefm-59	254	1	journal	journal	NOUN
arjefm-59	254	2	of	of	ADP
arjefm-59	254	3	financial	financial	ADJ
arjefm-59	254	4	economics	economic	NOUN
arjefm-59	254	5	,	,	PUNCT
arjefm-59	254	6	91	91	NUM
arjefm-59	254	7	,	,	PUNCT
arjefm-59	254	8	24	24	NUM
arjefm-59	254	9	–	–	SYM
arjefm-59	254	10	37	37	NUM
arjefm-59	254	11	.	.	PUNCT
arjefm-59	255	1	goetzmann	goetzmann	PROPN
arjefm-59	255	2	,	,	PUNCT
arjefm-59	255	3	w.	w.	PROPN
arjefm-59	255	4	n.	n.	PROPN
arjefm-59	255	5	,	,	PUNCT
arjefm-59	255	6	&	&	CCONJ
arjefm-59	255	7	kumar	kumar	PROPN
arjefm-59	255	8	,	,	PUNCT
arjefm-59	255	9	a.	a.	NOUN
arjefm-59	255	10	(	(	PUNCT
arjefm-59	255	11	2008).equity	2008).equity	NUM
arjefm-59	255	12	portfolio	portfolio	NOUN
arjefm-59	255	13	diversification.review	diversification.review	NOUN
arjefm-59	255	14	of	of	ADP
arjefm-59	255	15	finance	finance	NOUN
arjefm-59	255	16	,	,	PUNCT
arjefm-59	255	17	12(3	12(3	NUM
arjefm-59	255	18	)	)	PUNCT
arjefm-59	255	19	,	,	PUNCT
arjefm-59	255	20	433	433	NUM
arjefm-59	255	21	–	–	PUNCT
arjefm-59	255	22	463	463	NUM
arjefm-59	255	23	.	.	PUNCT
arjefm-59	256	1	mailto:contact@americaserial.com	mailto:contact@americaserial.com	X
arjefm-59	256	2	mailto:contact@americaserial.com	mailto:contact@americaserial.com	PROPN
arjefm-59	257	1	american	american	PROPN
arjefm-59	257	2	research	research	PROPN
arjefm-59	257	3	journal	journal	PROPN
arjefm-59	257	4	of	of	ADP
arjefm-59	257	5	economics	economic	NOUN
arjefm-59	257	6	,	,	PUNCT
arjefm-59	257	7	finance	finance	NOUN
arjefm-59	257	8	and	and	CCONJ
arjefm-59	257	9	management	management	NOUN
arjefm-59	257	10	volume	volume	NOUN
arjefm-59	257	11	10	10	NUM
arjefm-59	257	12	issue	issue	NOUN
arjefm-59	257	13	1	1	NUM
arjefm-59	257	14	,	,	PUNCT
arjefm-59	257	15	january	january	PROPN
arjefm-59	257	16	-	-	PUNCT
arjefm-59	257	17	march	march	PROPN
arjefm-59	257	18	2022	2022	NUM
arjefm-59	257	19	issn	issn	NOUN
arjefm-59	257	20	:	:	PUNCT
arjefm-59	257	21	2836	2836	NUM
arjefm-59	257	22	-	-	SYM
arjefm-59	257	23	9416	9416	NUM
arjefm-59	257	24	impact	impact	NOUN
arjefm-59	257	25	factor	factor	NOUN
arjefm-59	257	26	:	:	PUNCT
arjefm-59	257	27	4.85	4.85	NUM
arjefm-59	257	28	journal	journal	NOUN
arjefm-59	257	29	homepage	homepage	NOUN
arjefm-59	257	30	:	:	PUNCT
arjefm-59	257	31	https://americaserial.com/journals/index.php/arjefm	https://americaserial.com/journals/index.php/arjefm	NOUN
arjefm-59	257	32	,	,	PUNCT
arjefm-59	257	33	email	email	NOUN
arjefm-59	257	34	:	:	PUNCT
arjefm-59	258	1	contact@americaserial.com	contact@americaserial.com	PROPN
arjefm-59	258	2	official	official	ADJ
arjefm-59	258	3	journal	journal	PROPN
arjefm-59	258	4	of	of	ADP
arjefm-59	258	5	america	america	PROPN
arjefm-59	258	6	serial	serial	PROPN
arjefm-59	258	7	publication	publication	NOUN
arjefm-59	258	8	american	american	PROPN
arjefm-59	258	9	research	research	PROPN
arjefm-59	258	10	journal	journal	PROPN
arjefm-59	258	11	of	of	ADP
arjefm-59	258	12	economics	economic	NOUN
arjefm-59	258	13	,	,	PUNCT
arjefm-59	258	14	finance	finance	NOUN
arjefm-59	258	15	and	and	CCONJ
arjefm-59	258	16	management	management	NOUN
arjefm-59	258	17	https://americaserial.com/journals/index.php/arjefm	https://americaserial.com/journals/index.php/arjefm	NOUN
arjefm-59	258	18	,	,	PUNCT
arjefm-59	258	19	email	email	NOUN
arjefm-59	258	20	:	:	PUNCT
arjefm-59	258	21	contact@americaserial.com	contact@americaserial.com	X
arjefm-59	259	1	12	12	NUM
arjefm-59	260	1	|	|	ADV
arjefm-59	260	2	p	p	X
arjefm-59	260	3	a	a	DET
arjefm-59	260	4	g	g	NOUN
arjefm-59	260	5	e	e	PROPN
arjefm-59	260	6	hou	hou	PROPN
arjefm-59	260	7	,	,	PUNCT
arjefm-59	260	8	k.	k.	PROPN
arjefm-59	260	9	,	,	PUNCT
arjefm-59	260	10	&	&	CCONJ
arjefm-59	260	11	moskowitz	moskowitz	PROPN
arjefm-59	260	12	,	,	PUNCT
arjefm-59	260	13	t.	t.	PROPN
arjefm-59	260	14	j.	j.	PROPN
arjefm-59	260	15	(	(	PUNCT
arjefm-59	260	16	2005	2005	NUM
arjefm-59	260	17	)	)	PUNCT
arjefm-59	260	18	.	.	PUNCT
arjefm-59	261	1	market	market	NOUN
arjefm-59	261	2	frictions	friction	NOUN
arjefm-59	261	3	,	,	PUNCT
arjefm-59	261	4	price	price	NOUN
arjefm-59	261	5	delay	delay	NOUN
arjefm-59	261	6	,	,	PUNCT
arjefm-59	261	7	and	and	CCONJ
arjefm-59	261	8	the	the	DET
arjefm-59	261	9	cross	cross	NOUN
arjefm-59	261	10	-	-	NOUN
arjefm-59	261	11	section	section	NOUN
arjefm-59	261	12	of	of	ADP
arjefm-59	261	13	expected	expect	VERB
arjefm-59	261	14	returns	return	NOUN
arjefm-59	261	15	.	.	PUNCT
arjefm-59	262	1	the	the	DET
arjefm-59	262	2	review	review	NOUN
arjefm-59	262	3	of	of	ADP
arjefm-59	262	4	financial	financial	ADJ
arjefm-59	262	5	studies	study	NOUN
arjefm-59	262	6	,	,	PUNCT
arjefm-59	262	7	18(3	18(3	NUM
arjefm-59	262	8	)	)	PUNCT
arjefm-59	262	9	,	,	PUNCT
arjefm-59	262	10	981–1020	981–1020	X
arjefm-59	262	11	.	.	PUNCT
arjefm-59	263	1	kumar	kumar	PROPN
arjefm-59	263	2	,	,	PUNCT
arjefm-59	263	3	a.	a.	PROPN
arjefm-59	263	4	(	(	PUNCT
arjefm-59	263	5	2009	2009	NUM
arjefm-59	263	6	)	)	PUNCT
arjefm-59	263	7	.	.	PUNCT
arjefm-59	264	1	who	who	PRON
arjefm-59	264	2	gambles	gamble	VERB
arjefm-59	264	3	in	in	ADP
arjefm-59	264	4	the	the	DET
arjefm-59	264	5	stock	stock	NOUN
arjefm-59	264	6	market	market	NOUN
arjefm-59	264	7	?	?	PUNCT
arjefm-59	264	8	.	.	PUNCT
arjefm-59	265	1	the	the	DET
arjefm-59	265	2	journal	journal	PROPN
arjefm-59	265	3	of	of	ADP
arjefm-59	265	4	finance	finance	NOUN
arjefm-59	265	5	,	,	PUNCT
arjefm-59	265	6	64(4	64(4	NUM
arjefm-59	265	7	)	)	PUNCT
arjefm-59	265	8	,	,	PUNCT
arjefm-59	265	9	1889–1933	1889–1933	NUM
arjefm-59	265	10	.	.	PUNCT
arjefm-59	266	1	kumari	kumari	PROPN
arjefm-59	266	2	,	,	PUNCT
arjefm-59	266	3	j.	j.	PROPN
arjefm-59	266	4	,	,	PUNCT
arjefm-59	266	5	mahakud	mahakud	PROPN
arjefm-59	266	6	,	,	PUNCT
arjefm-59	266	7	j.	j.	PROPN
arjefm-59	266	8	,	,	PUNCT
arjefm-59	266	9	&	&	CCONJ
arjefm-59	266	10	hiremath	hiremath	PROPN
arjefm-59	266	11	,	,	PUNCT
arjefm-59	266	12	g.	g.	PROPN
arjefm-59	266	13	s.	s.	PROPN
arjefm-59	266	14	(	(	PUNCT
arjefm-59	266	15	2017	2017	NUM
arjefm-59	266	16	)	)	PUNCT
arjefm-59	266	17	.	.	PUNCT
arjefm-59	267	1	determinants	determinant	NOUN
arjefm-59	267	2	of	of	ADP
arjefm-59	267	3	idiosyncratic	idiosyncratic	ADJ
arjefm-59	267	4	volatility	volatility	NOUN
arjefm-59	267	5	:	:	PUNCT
arjefm-59	267	6	evidence	evidence	NOUN
arjefm-59	267	7	from	from	ADP
arjefm-59	267	8	the	the	DET
arjefm-59	267	9	indian	indian	ADJ
arjefm-59	267	10	stock	stock	NOUN
arjefm-59	267	11	market	market	NOUN
arjefm-59	267	12	.	.	PUNCT
arjefm-59	268	1	research	research	NOUN
arjefm-59	268	2	in	in	ADP
arjefm-59	268	3	international	international	ADJ
arjefm-59	268	4	business	business	NOUN
arjefm-59	268	5	and	and	CCONJ
arjefm-59	268	6	finance	finance	NOUN
arjefm-59	268	7	,	,	PUNCT
arjefm-59	268	8	41	41	NUM
arjefm-59	268	9	,	,	PUNCT
arjefm-59	268	10	172–184	172–184	NUM
arjefm-59	268	11	.	.	PUNCT
arjefm-59	269	1	markowitz	markowitz	PROPN
arjefm-59	269	2	,	,	PUNCT
arjefm-59	269	3	h.	h.	PROPN
arjefm-59	269	4	(	(	PUNCT
arjefm-59	269	5	1952	1952	NUM
arjefm-59	269	6	)	)	PUNCT
arjefm-59	269	7	.	.	PUNCT
arjefm-59	270	1	portfolio	portfolio	NOUN
arjefm-59	270	2	selection	selection	NOUN
arjefm-59	270	3	.	.	PUNCT
arjefm-59	271	1	the	the	DET
arjefm-59	271	2	journal	journal	PROPN
arjefm-59	271	3	of	of	ADP
arjefm-59	271	4	finance	finance	NOUN
arjefm-59	271	5	,	,	PUNCT
arjefm-59	271	6	7(1	7(1	NUM
arjefm-59	271	7	)	)	PUNCT
arjefm-59	271	8	,	,	PUNCT
arjefm-59	271	9	77–91	77–91	NUM
arjefm-59	271	10	.	.	PUNCT
arjefm-59	272	1	merton	merton	PROPN
arjefm-59	272	2	,	,	PUNCT
arjefm-59	272	3	r.	r.	PROPN
arjefm-59	272	4	c.	c.	PROPN
arjefm-59	272	5	(	(	PUNCT
arjefm-59	272	6	1987	1987	NUM
arjefm-59	272	7	)	)	PUNCT
arjefm-59	272	8	.	.	PUNCT
arjefm-59	273	1	a	a	DET
arjefm-59	273	2	simple	simple	ADJ
arjefm-59	273	3	model	model	NOUN
arjefm-59	273	4	of	of	ADP
arjefm-59	273	5	capital	capital	NOUN
arjefm-59	273	6	market	market	NOUN
arjefm-59	273	7	equilibrium	equilibrium	NOUN
arjefm-59	273	8	with	with	ADP
arjefm-59	273	9	incomplete	incomplete	ADJ
arjefm-59	273	10	information.the	information.the	DET
arjefm-59	273	11	journal	journal	NOUN
arjefm-59	273	12	of	of	ADP
arjefm-59	273	13	finance	finance	NOUN
arjefm-59	273	14	,	,	PUNCT
arjefm-59	273	15	42(3	42(3	NUM
arjefm-59	273	16	)	)	PUNCT
arjefm-59	273	17	,	,	PUNCT
arjefm-59	273	18	483–510	483–510	NUM
arjefm-59	273	19	.	.	PUNCT
arjefm-59	274	1	miller	miller	PROPN
arjefm-59	274	2	,	,	PUNCT
arjefm-59	274	3	m.	m.	PROPN
arjefm-59	274	4	h.	h.	PROPN
arjefm-59	274	5	,	,	PUNCT
arjefm-59	274	6	&	&	CCONJ
arjefm-59	274	7	scholes	scholes	PROPN
arjefm-59	274	8	,	,	PUNCT
arjefm-59	274	9	m.	m.	NOUN
arjefm-59	274	10	s.	s.	PROPN
arjefm-59	274	11	(	(	PUNCT
arjefm-59	274	12	1982	1982	NUM
arjefm-59	274	13	)	)	PUNCT
arjefm-59	274	14	.	.	PUNCT
arjefm-59	275	1	dividends	dividend	NOUN
arjefm-59	275	2	and	and	CCONJ
arjefm-59	275	3	taxes	taxis	NOUN
arjefm-59	275	4	:	:	PUNCT
arjefm-59	275	5	some	some	DET
arjefm-59	275	6	empirical	empirical	ADJ
arjefm-59	275	7	evidence	evidence	NOUN
arjefm-59	275	8	.	.	PUNCT
arjefm-59	276	1	the	the	DET
arjefm-59	276	2	journal	journal	NOUN
arjefm-59	276	3	of	of	ADP
arjefm-59	276	4	political	political	ADJ
arjefm-59	276	5	economy	economy	NOUN
arjefm-59	276	6	,	,	PUNCT
arjefm-59	276	7	90(6	90(6	NOUN
arjefm-59	276	8	)	)	PUNCT
arjefm-59	276	9	,	,	PUNCT
arjefm-59	276	10	1118–1141	1118–1141	NUM
arjefm-59	276	11	.	.	PUNCT
arjefm-59	277	1	nelson	nelson	PROPN
arjefm-59	277	2	,	,	PUNCT
arjefm-59	277	3	d.	d.	PROPN
arjefm-59	277	4	b.	b.	PROPN
arjefm-59	277	5	(	(	PUNCT
arjefm-59	277	6	1991	1991	NUM
arjefm-59	277	7	)	)	PUNCT
arjefm-59	277	8	.	.	PUNCT
arjefm-59	278	1	conditional	conditional	ADJ
arjefm-59	278	2	heteroskedasticity	heteroskedasticity	NOUN
arjefm-59	278	3	in	in	ADP
arjefm-59	278	4	asset	asset	NOUN
arjefm-59	278	5	returns	return	NOUN
arjefm-59	278	6	:	:	PUNCT
arjefm-59	278	7	a	a	DET
arjefm-59	278	8	new	new	ADJ
arjefm-59	278	9	approach	approach	NOUN
arjefm-59	278	10	.	.	PUNCT
arjefm-59	279	1	econometrica	econometrica	PROPN
arjefm-59	279	2	,	,	PUNCT
arjefm-59	279	3	59(2	59(2	NUM
arjefm-59	279	4	)	)	PUNCT
arjefm-59	279	5	,	,	PUNCT
arjefm-59	279	6	347–370	347–370	NUM
arjefm-59	279	7	.	.	PUNCT
arjefm-59	280	1	newey	newey	PROPN
arjefm-59	280	2	,	,	PUNCT
arjefm-59	280	3	w.	w.	PROPN
arjefm-59	280	4	k.	k.	PROPN
arjefm-59	280	5	&	&	CCONJ
arjefm-59	280	6	west	west	PROPN
arjefm-59	280	7	,	,	PUNCT
arjefm-59	280	8	k.	k.	PROPN
arjefm-59	280	9	d.	d.	PROPN
arjefm-59	280	10	(	(	PUNCT
arjefm-59	280	11	1987).a	1987).a	NUM
arjefm-59	280	12	simple	simple	ADJ
arjefm-59	280	13	,	,	PUNCT
arjefm-59	280	14	positive	positive	ADJ
arjefm-59	280	15	semi	semi	ADJ
arjefm-59	280	16	-	-	ADJ
arjefm-59	280	17	definite	definite	ADJ
arjefm-59	280	18	,	,	PUNCT
arjefm-59	280	19	hetroskedasticity	hetroskedasticity	NOUN
arjefm-59	280	20	and	and	CCONJ
arjefm-59	280	21	autocorrelation	autocorrelation	NOUN
arjefm-59	280	22	consistent	consistent	ADJ
arjefm-59	280	23	covariance	covariance	NOUN
arjefm-59	280	24	matrix.econometrica	matrix.econometrica	PROPN
arjefm-59	280	25	55	55	NUM
arjefm-59	280	26	,	,	PUNCT
arjefm-59	280	27	703	703	NUM
arjefm-59	280	28	-	-	SYM
arjefm-59	280	29	708	708	NUM
arjefm-59	280	30	.	.	PUNCT
arjefm-59	281	1	pastor	pastor	NOUN
arjefm-59	281	2	,	,	PUNCT
arjefm-59	281	3	l.	l.	PROPN
arjefm-59	281	4	,	,	PUNCT
arjefm-59	281	5	&	&	CCONJ
arjefm-59	281	6	stambaugh	stambaugh	PROPN
arjefm-59	281	7	,	,	PUNCT
arjefm-59	281	8	r.	r.	PROPN
arjefm-59	281	9	f.	f.	PROPN
arjefm-59	281	10	(	(	PUNCT
arjefm-59	281	11	2003	2003	NUM
arjefm-59	281	12	)	)	PUNCT
arjefm-59	281	13	.	.	PUNCT
arjefm-59	282	1	liquidity	liquidity	NOUN
arjefm-59	282	2	risk	risk	NOUN
arjefm-59	282	3	and	and	CCONJ
arjefm-59	282	4	expected	expect	VERB
arjefm-59	282	5	stock	stock	NOUN
arjefm-59	282	6	returns	return	NOUN
arjefm-59	282	7	.	.	PUNCT
arjefm-59	283	1	the	the	DET
arjefm-59	283	2	journal	journal	NOUN
arjefm-59	283	3	of	of	ADP
arjefm-59	283	4	political	political	ADJ
arjefm-59	283	5	economy	economy	NOUN
arjefm-59	283	6	,	,	PUNCT
arjefm-59	283	7	111(3	111(3	NUM
arjefm-59	283	8	)	)	PUNCT
arjefm-59	283	9	,	,	PUNCT
arjefm-59	283	10	642–685	642–685	NUM
arjefm-59	283	11	.	.	PUNCT
arjefm-59	284	1	pukthuanthong	pukthuanthong	NOUN
arjefm-59	284	2	-	-	PUNCT
arjefm-59	284	3	le	le	X
arjefm-59	284	4	,	,	PUNCT
arjefm-59	284	5	k.	k.	PROPN
arjefm-59	284	6	,	,	PUNCT
arjefm-59	284	7	&	&	CCONJ
arjefm-59	284	8	visaltanachoti	visaltanachoti	PROPN
arjefm-59	284	9	,	,	PUNCT
arjefm-59	284	10	n.	n.	PROPN
arjefm-59	284	11	(	(	PUNCT
arjefm-59	284	12	2009	2009	NUM
arjefm-59	284	13	)	)	PUNCT
arjefm-59	284	14	.	.	PUNCT
arjefm-59	285	1	idiosyncratic	idiosyncratic	ADJ
arjefm-59	285	2	volatility	volatility	NOUN
arjefm-59	285	3	and	and	CCONJ
arjefm-59	285	4	stock	stock	NOUN
arjefm-59	285	5	returns	return	NOUN
arjefm-59	285	6	:	:	PUNCT
arjefm-59	285	7	a	a	DET
arjefm-59	285	8	cross	cross	ADJ
arjefm-59	285	9	country	country	NOUN
arjefm-59	285	10	analysis	analysis	NOUN
arjefm-59	285	11	.	.	PUNCT
arjefm-59	286	1	applied	apply	VERB
arjefm-59	286	2	financial	financial	ADJ
arjefm-59	286	3	economics	economic	NOUN
arjefm-59	286	4	,	,	PUNCT
arjefm-59	286	5	19(16	19(16	NUM
arjefm-59	286	6	)	)	PUNCT
arjefm-59	286	7	,	,	PUNCT
arjefm-59	286	8	1269–1281	1269–1281	NUM
arjefm-59	286	9	.	.	PUNCT
arjefm-59	286	10	ross	ross	PROPN
arjefm-59	286	11	,	,	PUNCT
arjefm-59	286	12	s.	s.	PROPN
arjefm-59	286	13	a.	a.	PROPN
arjefm-59	286	14	(	(	PUNCT
arjefm-59	286	15	1976	1976	NUM
arjefm-59	286	16	)	)	PUNCT
arjefm-59	286	17	.	.	PUNCT
arjefm-59	287	1	the	the	DET
arjefm-59	287	2	arbitrage	arbitrage	NOUN
arjefm-59	287	3	theory	theory	NOUN
arjefm-59	287	4	of	of	ADP
arjefm-59	287	5	capital	capital	NOUN
arjefm-59	287	6	asset	asset	NOUN
arjefm-59	287	7	pricing	pricing	NOUN
arjefm-59	287	8	.	.	PUNCT
arjefm-59	288	1	journal	journal	NOUN
arjefm-59	288	2	of	of	ADP
arjefm-59	288	3	economic	economic	ADJ
arjefm-59	288	4	theory	theory	NOUN
arjefm-59	288	5	,	,	PUNCT
arjefm-59	288	6	13(3	13(3	NUM
arjefm-59	288	7	)	)	PUNCT
arjefm-59	288	8	,	,	PUNCT
arjefm-59	288	9	341–360	341–360	NUM
arjefm-59	288	10	.	.	PUNCT
arjefm-59	289	1	samarakoon	samarakoon	NOUN
arjefm-59	289	2	,	,	PUNCT
arjefm-59	289	3	l.	l.	PROPN
arjefm-59	289	4	p.	p.	PROPN
arjefm-59	289	5	(	(	PUNCT
arjefm-59	289	6	1997	1997	NUM
arjefm-59	289	7	)	)	PUNCT
arjefm-59	289	8	.	.	PUNCT
arjefm-59	290	1	predictability	predictability	NOUN
arjefm-59	290	2	of	of	ADP
arjefm-59	290	3	short	short	ADJ
arjefm-59	290	4	-	-	PUNCT
arjefm-59	290	5	horizon	horizon	NOUN
arjefm-59	290	6	returns	return	NOUN
arjefm-59	290	7	in	in	ADP
arjefm-59	290	8	the	the	DET
arjefm-59	290	9	sri	sri	ADJ
arjefm-59	290	10	lankan	lankan	PROPN
arjefm-59	290	11	stock	stock	NOUN
arjefm-59	290	12	market	market	NOUN
arjefm-59	290	13	.	.	PUNCT
arjefm-59	291	1	sri	sri	PROPN
arjefm-59	291	2	lankan	lankan	PROPN
arjefm-59	291	3	journal	journal	PROPN
arjefm-59	291	4	of	of	ADP
arjefm-59	291	5	management	management	NOUN
arjefm-59	291	6	,	,	PUNCT
arjefm-59	291	7	1(3	1(3	NUM
arjefm-59	291	8	)	)	PUNCT
arjefm-59	291	9	,	,	PUNCT
arjefm-59	291	10	207–224	207–224	NUM
arjefm-59	291	11	sharpe	sharpe	NOUN
arjefm-59	291	12	,	,	PUNCT
arjefm-59	291	13	w.	w.	PROPN
arjefm-59	291	14	f.	f.	PROPN
arjefm-59	291	15	(	(	PUNCT
arjefm-59	291	16	1964	1964	NUM
arjefm-59	291	17	)	)	PUNCT
arjefm-59	291	18	.	.	PUNCT
arjefm-59	292	1	capital	capital	NOUN
arjefm-59	292	2	asset	asset	NOUN
arjefm-59	292	3	prices	price	NOUN
arjefm-59	292	4	:	:	PUNCT
arjefm-59	292	5	a	a	DET
arjefm-59	292	6	theory	theory	NOUN
arjefm-59	292	7	of	of	ADP
arjefm-59	292	8	market	market	NOUN
arjefm-59	292	9	equilibrium	equilibrium	NOUN
arjefm-59	292	10	under	under	ADP
arjefm-59	292	11	conditions	condition	NOUN
arjefm-59	292	12	of	of	ADP
arjefm-59	292	13	risk	risk	NOUN
arjefm-59	292	14	.	.	PUNCT
arjefm-59	293	1	the	the	DET
arjefm-59	293	2	journal	journal	NOUN
arjefm-59	293	3	of	of	ADP
arjefm-59	293	4	finance,19(3	finance,19(3	PROPN
arjefm-59	293	5	)	)	PUNCT
arjefm-59	293	6	,	,	PUNCT
arjefm-59	293	7	425–442	425–442	NUM
arjefm-59	293	8	.	.	PUNCT
arjefm-59	293	9	sriyalatha	sriyalatha	PROPN
arjefm-59	293	10	,	,	PUNCT
arjefm-59	293	11	m.	m.	NOUN
arjefm-59	293	12	a.	a.	PROPN
arjefm-59	293	13	k.	k.	PROPN
arjefm-59	293	14	(	(	PUNCT
arjefm-59	293	15	2008	2008	NUM
arjefm-59	293	16	)	)	PUNCT
arjefm-59	293	17	.	.	PUNCT
arjefm-59	294	1	does	do	AUX
arjefm-59	294	2	the	the	DET
arjefm-59	294	3	all	all	DET
arjefm-59	294	4	share	share	NOUN
arjefm-59	294	5	price	price	NOUN
arjefm-59	294	6	index	index	NOUN
arjefm-59	294	7	represent	represent	VERB
arjefm-59	294	8	the	the	DET
arjefm-59	294	9	colombo	colombo	NOUN
arjefm-59	294	10	stock	stock	NOUN
arjefm-59	294	11	market?.the	market?.the	DET
arjefm-59	294	12	meijo	meijo	PROPN
arjefm-59	294	13	review	review	PROPN
arjefm-59	294	14	,	,	PUNCT
arjefm-59	294	15	9(3	9(3	NUM
arjefm-59	294	16	)	)	PUNCT
arjefm-59	294	17	,	,	PUNCT
arjefm-59	294	18	75–90	75–90	NUM
arjefm-59	294	19	.	.	PUNCT
arjefm-59	295	1	mailto:contact@americaserial.com	mailto:contact@americaserial.com	X
arjefm-59	295	2	mailto:contact@americaserial.com	mailto:contact@americaserial.com	X