Showing 1 - 10 of 13
Persistent link: https://www.econbiz.de/10001640881
Despite the crucial role of the market factor in Fama and French's three-factor model, the market beta has failed to explain the cross-sectional differences in expected returns proxied by the future realized returns of individual stocks. However, current evidence does not necessarily reject the...
Persistent link: https://www.econbiz.de/10012968577
Recent studies have challenged the cross-sectional explanatory power of the size variable for stock returns. In this paper, we reexamine the size effect by disentangling the delisting effect at the same time. We believe that firms to be delisted from their current stock exchanges usually...
Persistent link: https://www.econbiz.de/10012972839
In contrast to the current literature, we provide new evidence supporting a positive relation between idiosyncratic risk and the expected future market return. Since a large part of the idiosyncratic risk can be diversified away easily, the conventional aggregate idiosyncratic risk measures can...
Persistent link: https://www.econbiz.de/10013147347
This paper investigates whether beta can predict the expected return after controlling for the beta instability resulting from shift in the covariance structure. Such a shift is primarily due to noise investors chasing stocks with high idiosyncratic volatility. Consequently, these stocks tend to...
Persistent link: https://www.econbiz.de/10013091367
The standard test for the pricing role of aggregate idiosyncratic risk in the conventional predictive regression considers aggregate total idiosyncratic risk a reasonable proxy for its undiversified component, which should be priced as theory suggests. However, when the priced component is...
Persistent link: https://www.econbiz.de/10013074960
Persistent link: https://www.econbiz.de/10014370374
This paper uses a disaggregated approach to study the volatility of common stocks at the market, industry, and firm levels. Over the period 1962-97 there has been a noticeable increase in firm-level volatility relative to market volatility. Accordingly correlations among individual stocks and...
Persistent link: https://www.econbiz.de/10012471179
This paper uses a disaggregated approach to study the volatility of common stocks at the market, industry, and firm levels. Over the period 1962-97 there has been a noticeable increase in firm-level volatility relative to market volatility. Accordingly correlations among individual stocks and...
Persistent link: https://www.econbiz.de/10012763341
This paper reviews the literature on idiosyncratic equity volatility since the publication of “Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk” in 2001. We respond to replication studies by Chiah, Gharghori, and Zhong and by Leippold and Svaton,...
Persistent link: https://www.econbiz.de/10013291964