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Expected Idiosyncratic Volatility Measures and Expected Returns

✍ Scribed by Jason D. Fink; Kristin E. Fink; Hui He

Book ID: 114915589
Publisher: Financial Management Association International (FMA)
Year: 2012
Tongue: English
Weight: 757 KB
Volume: 41
Category: Article
ISSN: 0046-3892
DOI: 10.1111/j.1755-053x.2012.01209.x

No coin nor oath required. For personal study only.

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Theories such as Merton [1987. A simple model of capital market equilibrium with incomplete information. Journal of Finance 42, 483–510] predict a positive relation between idiosyncratic risk and expected return when investors do not diversify their portfolio. Ang, Hodrick, Xing, and Zhang [2006. Th