Idiosyncratic Risk and the Cross-Section of Expected Stock Returns
Theories such as Merton (1987, Journal of Finance) predict a positive relation between idiosyncratic risk and expected return when investors do not diversify their portfolio. Ang, Hodrick, Xing, and Zhang (2006, Journal of Finance 61, 259-299) however find that monthly stock returns are negatively r...
Saved in:
Main Author: | FU, Fangjian |
---|---|
Format: | text |
Language: | English |
Published: |
Institutional Knowledge at Singapore Management University
2006
|
Subjects: | |
Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/1425 |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Institution: | Singapore Management University |
Language: | English |
Similar Items
-
Idiosyncratic Risk and the Cross-Section of Expected Stock Returns
by: FU, Fangjian
Published: (2005) -
Idiosyncratic Risk and the Cross-Section of Expected Stock Returns
by: FU, Fangjian
Published: (2006) -
Idiosyncratic Risk and the Cross-Section of Expected Stock Returns
by: FU, Fangjian
Published: (2009) -
Liquidity Variation and the Cross-Section of Stock Returns
by: FU, Fangjian
Published: (2012) -
On the robustness of the positive relation between expected idiosyncratic volatility and expected return
by: FU, Fangjian
Published: (2010)