𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Risk and the cross section of stock returns

✍ Scribed by Radu Burlacu; Patrice Fontaine; Sonia Jimenez-Garcès; Mark S. Seasholes


Book ID
113711476
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
343 KB
Volume
105
Category
Article
ISSN
0304-405X

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