Does idiosyncratic risk really matter?

被引：221

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

收藏

页码：905 / 929

页数：25

相关论文

共 28 条

[1] Illiquidity and stock returns: cross-section and time-series effects [J].

Amihud, Y .

JOURNAL OF FINANCIAL MARKETS, 2002, 5 (01) :31-56

[2] The distribution of realized stock return volatility [J].

Andersen, TG ;

Bollerslev, T ;

Diebold, FX ;

Ebens, H .

JOURNAL OF FINANCIAL ECONOMICS, 2001, 61 (01) :43-76

[3] STOCK RETURNS AND VOLATILITY [J].

BAILLIE, RT ;

DEGENNARO, RP .

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1990, 25 (02) :203-214

[4] PRICING OF OPTIONS AND CORPORATE LIABILITIES [J].

BLACK, F ;

SCHOLES, M .

JOURNAL OF POLITICAL ECONOMY, 1973, 81 (03) :637-654

[5] STOCK RETURNS AND THE TERM STRUCTURE [J].

CAMPBELL, JY .

JOURNAL OF FINANCIAL ECONOMICS, 1987, 18 (02) :373-399

[6] NO NEWS IS GOOD-NEWS - AN ASYMMETRIC MODEL OF CHANGING VOLATILITY IN STOCK RETURNS [J].

CAMPBELL, JY ;

HENTSCHEL, L .

JOURNAL OF FINANCIAL ECONOMICS, 1992, 31 (03) :281-318

[7] Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk [J].

Campbell, JY ;

Lettau, M ;

Malkiel, BG ;

Xu, YX .

JOURNAL OF FINANCE, 2001, 56 (01) :1-43

[8] GLOBAL FINANCIAL-MARKETS AND THE RISK PREMIUM ON UNITED-STATES EQUITY [J].

CHAN, KC ;

KAROLYI, GA ;

STULZ, RM .

JOURNAL OF FINANCIAL ECONOMICS, 1992, 32 (02) :137-167

[9] EXPECTED STOCK RETURNS AND VOLATILITY [J].

FRENCH, KR ;

SCHWERT, GW ;

STAMBAUGH, RF .

JOURNAL OF FINANCIAL ECONOMICS, 1987, 19 (01) :3-29

[10] ON THE RELATION BETWEEN THE EXPECTED VALUE AND THE VOLATILITY OF THE NOMINAL EXCESS RETURN ON STOCKS [J].

GLOSTEN, LR ;

JAGANNATHAN, R ;

RUNKLE, DE .

JOURNAL OF FINANCE, 1993, 48 (05) :1779-1801