Bali, Turan G.; Cakici, Nusret; Levy, Haim - In: Journal of Empirical Finance 15 (2008) 5, pp. 878-896
This paper introduces a model-independent measure of aggregate idiosyncratic risk, which does not require estimation of market betas or correlations and is based on the concept of gain from portfolio diversification. The statistical results and graphical analyses provide strong evidence that...