Idiosyncratic risk and the cross-section
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Fangjian Fu
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Article
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2009
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Elsevier Science
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English
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Theories such as Merton [1987. A simple model of capital market equilibrium with incomplete information. Journal of Finance 42, 483โ510] predict a positive relation between idiosyncratic risk and expected return when investors do not diversify their portfolio. Ang, Hodrick, Xing, and Zhang [2006. Th