between the maximum daily return over the past one month (MAX) and expected stock returns. Average raw and risk …

REITs' idiosyncratic risk and their cross-sectional expected returns between 1981 and 2010. In addition to the full sample … models. Overall, we document a negative relation between idiosyncratic risk and cross-sectional expected returns and …

between the maximum daily return over the past one month (MAX) and expected stock returns. Average raw and risk …

firms and concludes that both the size and book-to-market effects are related to default risk. For example, small firms earn … higher return than big firms only if they have higher default risk and value stocks earn higher returns than growth stocks if … their default risk is high. In this paper we use a more advanced compound option pricing model for the computation of …