Investor Diversification and the Pricing of Idiosyncratic Risk
Theories predict that, due to investor under-diversification, idiosyncratic risk is positively priced in expected stock returns. Empirical studies based on various methodologies yield mixed evidence. This study circumvents the debate on methodological issues and traces the pricing of idiosyncratic r...
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Format: | text |
Language: | English |
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Institutional Knowledge at Singapore Management University
2010
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Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/3042 https://ink.library.smu.edu.sg/context/lkcsb_research/article/4041/viewcontent/FuFJ2010InvestorDiversificationAndThePricingOfIdiosyncraticRisk.pdf |
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Institution: | Singapore Management University |
Language: | English |
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