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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Bibliographic Details
Main Authors: FU, Fangjian, YANG, Wei
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2012
Subjects:
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/3223
https://ink.library.smu.edu.sg/context/lkcsb_research/article/4222/viewcontent/20110620013314.pdf
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Institution: Singapore Management University
Language: English