Idiosyncratic Risk and the Cross-Section of Expected Stock Returns

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...

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Bibliographic Details
Main Author: FU, Fangjian
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2009
Subjects:
Idiosyncratic risk
Cross-sectional returns
Time varying
Finance and Financial Management
Portfolio and Security Analysis
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/3030
https://ink.library.smu.edu.sg/context/lkcsb_research/article/4029/viewcontent/FuFJ2009IdiocyncraticRisk.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/lkcsb_research/3030
https://ink.library.smu.edu.sg/context/lkcsb_research/article/4029/viewcontent/FuFJ2009IdiocyncraticRisk.pdf

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