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Capital market theory is concerned with the equilibrium relationship between risk and expected return on risky assets. Within this framework, this paper seeks to extend the mounting evidence against the view that the beta coefficient of the Capital Asset Pricing Model is the sole measure of...
Persistent link: https://www.econbiz.de/10010769386
Purpose – Malkiel and Xu state that idiosyncratic volatility is highly correlated with size and that it plays a powerful role in explaining expected returns. The purpose of this paper is to ask whether idiosyncratic volatility is useful in explaining the variation in expected returns; and...
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Standard asset pricing models ignore idiosyncratic risk. In this study we examine if stock idiosyncratic or unique risk affects returns for New Zealand stocks using the factor portfolio mimicking approach of Fama and French (1993, 1996). We find evidence of a negative relationship between firm...
Persistent link: https://www.econbiz.de/10005635684
In this article, a multifactor asset pricing model incorporating a price limit factor is developed to explain the cross section of asset returns following closely the mimicking portfolio methodology of Fama and French (1996). Differing regulatory environments in the Asian region suggest that...
Persistent link: https://www.econbiz.de/10010772807
This paper investigates the profitability of momentum investment strategies for equities listed in the Shanghai Stock Exchange. We also investigate the role of trading volume to examine whether there is any relationship between stock returns and past trading volume for Chinese equities. We find...
Persistent link: https://www.econbiz.de/10005210391
Standard asset pricing models ignore idiosyncratic risk. In this study, we examine if idiosyncratic or unique risk affects returns for New Zealand stocks using the factor portfolio mimicking approach of Fama and French (1993, 1996). We find evidence of a negative relationship between firm size...
Persistent link: https://www.econbiz.de/10004970144