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Idiosyncratic risk and the cross-section of expected stock returns

โœ Scribed by Fangjian Fu


Book ID
113711086
Publisher
Elsevier Science
Year
2009
Tongue
English
Weight
284 KB
Volume
91
Category
Article
ISSN
0304-405X

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Idiosyncratic risk and the cross-section
โœ Fangjian Fu ๐Ÿ“‚ Article ๐Ÿ“… 2009 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 284 KB

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