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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| التنسيق: | text |
| اللغة: | English |
| منشور في: |
Institutional Knowledge at Singapore Management University
2009
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| الوصول للمادة أونلاين: | 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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