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- Title
Does Idiosyncratic Risk Really Matter?
- Authors
BALI, TURAN G.; CAKICI, NUSRET; ZHE ZHANG; XUEMIN YAN, (STERLING)
- Abstract
Goyal and Santa-Clara (2003) find a significantly positive relation between the equal-weighted average stock volatility and the value-weighted portfolio returns on the NYSE/AMEX/Nasdaq stocks for the period of 1963:08 to 1999:12. We show that this result is driven by small stocks traded on the Nasdaq, and is in part due to a liquidity premium. In addition, their result does not hold for the extended sample of 1963:08 to 2001:12 and for the NYSE/AMEX and NYSE stocks. More importantly, we find no evidence of a significant link between the value-weighted portfolio returns and the median and value-weighted average stock volatility.
- Subjects
UNITED States; STOCKS (Finance); SECURITIES; RISK; INVESTMENTS; STOCK exchanges; FINANCE; LIQUIDITY (Economics); NASDAQ Stock Market; NEW York Stock Exchange; AMERICAN Stock Exchange; SMALL capitalization stocks
- Publication
Journal of Finance (Wiley-Blackwell), 2005, Vol 60, Issue 2, p905
- ISSN
0022-1082
- Publication type
Article
- DOI
10.1111/j.1540-6261.2005.00750.x