๐”– Bobbio Scriptorium
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Expected stock returns, risk premiums and volatilities of economic factors

โœ Scribed by Yuming Li


Book ID
117628296
Publisher
Elsevier Science
Year
1998
Tongue
English
Weight
161 KB
Volume
5
Category
Article
ISSN
0927-5398

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Theories such as Merton [1987. A simple model of capital market equilibrium with incomplete information. Journal of Finance 42, 483โ€“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