This study proposes indexing strategies representative of the equity market and based on readily available accounting information. In contrast to the previous literature, we discard balance sheet variables and instead develop two indices that revolve solely around income statement and dividend...

This article examines the role of idiosyncratic volatility in explaining the cross-sectional variation of size- and value-sorted portfolio returns. We show that the premium for bearing idiosyncratic volatility varies inversely with the number of stocks included in the portfolios. This conclusion...