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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Bibliographic Details
Main Authors: ZHANG, Zhe (Joe), Bali, Turan G., Cakici, Nusret, Yan, Xuemin
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2005
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
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