Despite the debate on the pricing of idiosyncratic risk, it is generally believed that the pricing effect is likely to exist among small stocks due to lack of diversification and information asymmetry predicted by Merton (1987). However, given the size of Asset Under Management, most...

Current literature has suggested that many factors affect a firm's capital structure decision and firms do not change their capital structure very often. Such a quot;stablequot; structure has prompted Lemmon, Roberts, and Zender (2007) to advocate the use of firm fixed effect in capital...

Current literature has suggested that many factors affect a firm's capital structure decision and firms do not change their capital structure very often. Such a quot;stablequot; structure has prompted Lemmon, Roberts, and Zender (2007) to advocate the use of firm fixed effect in capital...

It is well known that 70% of individual stocks' returns are classified as idiosyncratic returns under a conventional asset pricing model. In this study, we raise an important question as to whether majority return variations are truly influenced by idiosyncratic risks that at most affect several...

Size, not book-to-market, helps to explain cross-sectional differences in Chinese stock returns from 1996 to 2002. Similar to the U.S. experience, beta does not account for return differences among individual stocks. Due to the speculative nature of Chinese capital markets and the low quality...

The dramatic rise and fall of the Japanese equity market provides a unique opportunity to examine market- and firm-specific risks over different market conditions. The price behavior of Japanese equities in the 1990s is found to resemble that of U.S. equities during the Great Depression. Both...

Size, not book-to-market, helps to explain cross-sectional differences in Chinese stock returns from 1996 to 2002. Similar to the U.S. experience, beta does not account for return differences among individual stocks. Due to the speculative nature of Chinese capital markets and the low quality...

Small-return predictability in the stock market has been widely documented in empirical studies, yet little has been written on its economic importance. This paper examines the issue through profitability on a trading strategy that utilizes small levels of predictability and analyzes the...

The dramatic rise and fall of the Japanese equity market provides a unique opportunity to examine market-and firm-specific risks over different market conditions. The price behavior of Japanese equities in the 1990s is found to resemble that of U.S. equities during the Great Depression. Both...

The dramatic rise and fall of the Japanese equity market provides a unique opportunity to examine market-and firm-specific risks over different market conditions. The price behavior of Japanese equities in the 1990s is found to resemble that of U.S. equities during the Great Depression. Both...