Does idiosyncratic risk really matter?

被引：219

作者：

Bali, TG ^{[1
]}

Cakici, N

Yan, XM

Zhang, Z

机构：

[1] CUNY Bernard M Baruch Coll, New York, NY 10010 USA

[2] CUNY City Coll, New York, NY 10031 USA

[3] Univ Missouri, Columbia, MO USA

[4] Singapore Management Univ, Singapore, Singapore

来源：

JOURNAL OF FINANCE | 2005年 / 60卷 / 02期

关键词：

D O I：

10.1111/j.1540-6261.2005.00750.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Goyal and Santa-Clara (2003) 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 Nasdaq, and is in part due to a liquidity premium. In addition, their result does not hold for the extended sample of 1963:08 to 2001:12 and for the NYSE/AMEX and NYSE stocks. More importantly, we find no evidence of a significant link between the value-weighted portfolio returns and the median and value-weighted average stock volatility.

引用

页码：905 / 929

页数：25

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