Drew, Michael; Marsden, Alastair; Veeraraghavan, Madhu - School of Economics and Finance, Business School - 2004
Standard asset pricing models ignore idiosyncratic risk. In this study we examine if stock idiosyncratic or unique risk affects returns for New Zealand stocks using the factor portfolio mimicking approach of Fama and French (1993, 1996). We find evidence of a negative relationship between firm...