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The calendar structure of risk and expected returns on stocks and bonds

โœ Scribed by Joseph P. Ogden


Book ID
114221377
Publisher
Elsevier Science
Year
2003
Tongue
English
Weight
282 KB
Volume
70
Category
Article
ISSN
0304-405X

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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