Drew, Michael E.; Malin, Mirela; Naughton, Tony; … - In: Studies in Economics and Finance 23 (2006) June, pp. 80-93
Purpose – Malkiel and Xu state that idiosyncratic volatility is highly correlated with size and that it plays a powerful role in explaining expected returns. The purpose of this paper is to ask whether idiosyncratic volatility is useful in explaining the variation in expected returns; and...
