Kearney, Colm; Potì, Valerio - In: European Financial Management 14 (2008) 3, pp. 419-444
"We examine the dynamics of idiosyncratic risk, market risk and return correlations in European equity markets using weekly observations from 3515 stocks listed in the 12 euro area stock markets over the period 1974-2004. Similarly to""Campbell et al. (2001)"", we find a rise in idiosyncratic...
