Bollen, Bernard; Skotnicki, Anthony; Veeraraghavan, Madhu - In: Applied financial economics 19 (2009) 19/21, pp. 1573-1579
This article examines whether idiosyncratic risk is priced for equities listed in the Australian Stock Exchange (ASX). Specifically, this article follows the methodology of Bali et al. (2005) and investigates whether idiosyncratic volatility is able to predict 1-month ahead excess returns on the...
