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Macroeconomic risk and the cross-section of stock returns

✍ Scribed by Jangkoo Kang; Tong Suk Kim; Changjun Lee; Byoung-Kyu Min

Book ID
116615895
Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
743 KB
Volume
35
Category
Article
ISSN
0378-4266

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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