✦ LIBER ✦

Extreme downside risk and expected stock returns

✍ Scribed by Wei Huang; Qianqiu Liu; S. Ghon Rhee; Feng Wu

Book ID: 116616019
Publisher: Elsevier Science
Year: 2012
Tongue: English
Weight: 298 KB
Volume: 36
Category: Article
ISSN: 0378-4266
DOI: 10.1016/j.jbankfin.2011.12.014

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