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The cross-section of dynamics in idiosyncratic risk

โœ Scribed by Nadia Vozlyublennaia


Book ID
116641793
Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
431 KB
Volume
18
Category
Article
ISSN
0927-5398

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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