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: ZHANG, Zhe (Joe), Bali, Turan G., Cakici, Nusret, Yan, Xuemin
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Language:English
Published: Institutional Knowledge at Singapore Management University 2003
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Online Access:https://ink.library.smu.edu.sg/lkcsb_research/1134
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spelling sg-smu-ink.lkcsb_research-21332010-09-23T06:24:04Z Does Idiosyncratic Risk Really Matter? ZHANG, Zhe (Joe) Bali, Turan G. Cakici, Nusret Yan, Xuemin 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. 2003-04-01T08:00:00Z text https://ink.library.smu.edu.sg/lkcsb_research/1134 Research Collection Lee Kong Chian School Of Business eng Institutional Knowledge at Singapore Management University Finance and Financial Management Portfolio and Security Analysis
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic Finance and Financial Management
Portfolio and Security Analysis
spellingShingle Finance and Financial Management
Portfolio and Security Analysis
ZHANG, Zhe (Joe)
Bali, Turan G.
Cakici, Nusret
Yan, Xuemin
Does Idiosyncratic Risk Really Matter?
description 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.
format text
author ZHANG, Zhe (Joe)
Bali, Turan G.
Cakici, Nusret
Yan, Xuemin
author_facet ZHANG, Zhe (Joe)
Bali, Turan G.
Cakici, Nusret
Yan, Xuemin
author_sort ZHANG, Zhe (Joe)
title Does Idiosyncratic Risk Really Matter?
title_short Does Idiosyncratic Risk Really Matter?
title_full Does Idiosyncratic Risk Really Matter?
title_fullStr Does Idiosyncratic Risk Really Matter?
title_full_unstemmed Does Idiosyncratic Risk Really Matter?
title_sort does idiosyncratic risk really matter?
publisher Institutional Knowledge at Singapore Management University
publishDate 2003
url https://ink.library.smu.edu.sg/lkcsb_research/1134
_version_ 1770569815385178112