Chen, Chun-Nan; Li, Ming-Yuan Leon; Chou, Yi; Chen, Li-Ling - In: The Service Industries Journal 31 (2010) 13, pp. 2111-2116
This study decomposes the unconditional stock return volatility into two categories: systematic versus idiosyncratic risk, to re-examine the link between size and risk in the banking industry. The feasibility of the model is tested using data for US banks from 1998 to 2007. The evidence...