Does Idiosyncratic Risk Really Matter ?  

Oleh:

Bali, Turan G. ; Cakici, Nusret ; Yan, Xuemin (Sterling) ; Zhe, Zhang

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 60 no. 2 (Apr. 2005), page 905-930.
Topik: risks; studies; correlation analysis; liquidity; stocks; volatility; rates of return; risk
Fulltext: p 905.pdf (141.99KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

Lihat Detail Induk

Isi artikel

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.

Opini Anda

Klik untuk menuliskan opini Anda tentang koleksi ini!

Kembali