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Idiosyncratic volatility and the pricing of poorly-diversified portfolios

Miffre, Joëlle; Brooks, Chris; Li, Xiafei - In: International review of financial analysis 30 (2013), pp. 78-85

Persistent link: https://www.econbiz.de/10010459997

Commodity risks and the cross-section of equity returns

Brooks, Chris; Miffre, Joëlle; Nneji, Ogonna - In: The British accounting review : the journal of the … 48 (2016) 2, pp. 134-150

Persistent link: https://www.econbiz.de/10011520867

Did long-short investors destabilize commodity markets

Miffre, Joëlle; Brooks, Chris - 2013

Persistent link: https://www.econbiz.de/10009782761

Optimal hedging with higher moments

Brooks, Chris; Černý, Alešs; Miffre, Joëlle - In: The journal of futures markets 32 (2012) 10, pp. 909-944

Persistent link: https://www.econbiz.de/10009612628

Idiosyncratic Volatility and the Pricing of Poorly-Diversified Portfolios

Miffre, Joëlle - 2015

This article examines the role of idiosyncratic volatility in explaining the cross-sectional variation of size- and value-sorted portfolio returns. We show that the premium for bearing idiosyncratic volatility varies inversely with the number of stocks included in the portfolios. This conclusion...

Persistent link: https://www.econbiz.de/10013037940