کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9553912 | 1375682 | 2005 | 19 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Idiosyncratic risk does not matter: A re-examination of the relationship between average returns and average volatilities
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Idiosyncratic risk does not matter: A re-examination of the relationship between average returns and average volatilities Idiosyncratic risk does not matter: A re-examination of the relationship between average returns and average volatilities](/preview/png/9553912.png)
چکیده انگلیسی
A recent study by Goyal and Santa-Clara [J. Finance 58 (2003) 975] finds a significantly positive relationship between average stock returns and pre-determined average return volatility measures, while finding no relationship between the average return and its own volatility. The result is interpreted as evidence that idiosyncratic risk matters in asset pricing. We re-examine the issue in extended sample periods and find the proclaimed positive relationship is not substantiated. Our analysis indicates that the above-mentioned positive relationship is mainly driven by the data in the 1990s. The trading strategy suggested by Goyal and Santa-Clara to exploit the return predictability by pre-determined volatility does not yield sustained economic gains.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 29, Issue 3, March 2005, Pages 603-621
Journal: Journal of Banking & Finance - Volume 29, Issue 3, March 2005, Pages 603-621
نویسندگان
Steven X. Wei, Chu Zhang,