Does Idiosyncratic Risk Really Matter?
Goyal and Santa-Clara (2003) find a significantly positive relation between the equal-weighted average stock volatility and the value-weighted portfolio returns on the NYSE/AMEX/Nasdaq stocks for the period of 1963:08 to 1999:12. We show that this result is driven by small stocks traded on the Nasda...
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Main Authors: | , , , |
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Format: | text |
Language: | English |
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Institutional Knowledge at Singapore Management University
2005
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Subjects: | |
Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/1080 https://doi.org/10.1111/j.1540-6261.2005.00750.x |
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Institution: | Singapore Management University |
Language: | English |
Summary: | Goyal and Santa-Clara (2003) find a significantly positive relation between the equal-weighted average stock volatility and the value-weighted portfolio returns on the NYSE/AMEX/Nasdaq stocks for the period of 1963:08 to 1999:12. We show that this result is driven by small stocks traded on the Nasdaq, and is in part due to a liquidity premium. In addition, their result does not hold for the extended sample of 1963:08 to 2001:12 and for the NYSE/AMEX and NYSE stocks. More importantly, we find no evidence of a significant link between the value-weighted portfolio returns and the median and value-weighted average stock volatility. |
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