Semantic Scholar Open Access 2009 1066 sitasi

Idiosyncratic Risk and the Cross-Section of Expected Stock Returns

Fangjian Fu

Lihat Sumber DOI

Abstrak

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. The cross-section of volatility and expected returns. Journal of Finance 61, 259-299], however, find that monthly stock returns are negatively related to the one-month lagged idiosyncratic volatilities. I show that idiosyncratic volatilities are time-varying and thus, their findings should not be used to imply the relation between idiosyncratic risk and expected return. Using the exponential GARCH models to estimate expected idiosyncratic volatilities, I find a significantly positive relation between the estimated conditional idiosyncratic volatilities and expected returns. Further evidence suggests that Ang et al.'s findings are largely explained by the return reversal of a subset of small stocks with high idiosyncratic volatilities.

Topik & Kata Kunci

Economics

Penulis (1)

Fangjian Fu

Format Sitasi

APA MLA BibTeX

Fu, F. (2009). Idiosyncratic Risk and the Cross-Section of Expected Stock Returns. https://doi.org/10.1016/J.JFINECO.2008.02.003

Akses Cepat

Lihat di Sumber doi.org/10.1016/J.JFINECO.2008.02.003

Informasi Jurnal

Tahun Terbit: 2009
Bahasa: en
Total Sitasi: 1066×
Sumber Database: Semantic Scholar
DOI: 10.1016/J.JFINECO.2008.02.003
Akses: Open Access ✓