Research and publications
Idiosyncratic Risk and the Pricing of Poorly-Diversified Portfolios
A vast body of literature has documented the value premium and the small firm effect as pervasive stylized facts in empirical asset pricing and yet research has been largely unable to provide entirely convincing explanations of these phenomena. This paper examines the role of idiosyncratic risk in explaining the cross-sectional variation of stock returns in the context of a set of size- and value-sorted portfolios.
Author(s):
Chris Brooks, Xiafei Li, Joëlle Miffre
Summary:
A vast body of literature has documented the value premium and the small firm effect as pervasive stylized facts in empirical asset pricing and yet research has been largely unable to provide entirely convincing explanations of these phenomena. This paper examines the role of idiosyncratic risk in explaining the cross-sectional variation of stock returns in the context of a set of size- and value-sorted portfolios.
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Register/Log in| Type : | Working paper |
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| Date : | 29/06/2011 |
| Keywords : |
Asset Pricing |
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