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We test whether firm idiosyncratic risk is priced in a large cross-section of U.K. stocks. A distinguishing feature of our paper is that our tests allow for a conditional relationship between systematic risk (beta) and returns in our tests, i.e., conditional on whether the excess market return...
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The paper studies the behavior and interaction of systematic and idiosyncratic components of risk in a cross-section of UK stocks. No clear evidence is found of a trend in any component of total risk, but different ‘regimes' in the behavior of each component of total risk, in their correlation...
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