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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Format: | text |
Language: | English |
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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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Institution: | Singapore Management University |
Language: | English |
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