Size and Return: A New Perspective

• المؤلفون الرئيسيون: FU, Fangjian, YANG, Wei
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2011
• الموضوعات: size effect; cross-section of stock returns; investor under-diversification; Finance and Financial Management; Portfolio and Security Analysis
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/lkcsb_research/3158; https://ink.library.smu.edu.sg/context/lkcsb_research/article/4157/viewcontent/FuFJ2011SizeReturn.pdf

We document robust empirical evidence that, after controlling for idiosyncratic volatility, large stocks earn significantly higher returns than small stocks. Our empirical results indicate that idiosyncratic volatility is positively related to return, but negatively related to size. Hence, failure t...