Does Idiosyncratic Risk Really Matter?
Publication Type
Conference Paper
Publication Date
2003
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.
Discipline
Finance and Financial Management | Portfolio and Security Analysis
Research Areas
Finance
Publication
Missouri Economics Conference, Columbia, April 2003
City or Country
Columbia, MO, USA
Citation
ZHANG, Zhe (Joe); Bali, Turan G.; Cakici, Nusret; and Yan, Xuemin.
Does Idiosyncratic Risk Really Matter?. (2003). Missouri Economics Conference, Columbia, April 2003.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/1134