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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書目詳細資料
主要作者:	FU, Fangjian
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2009
主題:	Idiosyncratic risk Cross-sectional returns Time varying Finance and Financial Management Portfolio and Security Analysis
在線閱讀:	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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