Size and Return: A New Perspective
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...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2011
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/3158 https://ink.library.smu.edu.sg/context/lkcsb_research/article/4157/viewcontent/FuFJ2011SizeReturn.pdf |
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| Institution: | Singapore Management University |
| Language: | English |