BALI, TURAN G.; CAKICI, NUSRET; XUEMIN (STERLING) YAN; … - In: Journal of Finance 60 (2005) 2, pp. 905-929
<link rid="b11">Goyal and Santa-Clara (2003)</link> 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...