describing risk-return relation of Croatian stocks. This paper shows that the Fama-French three-factor model is a valid pricing … comparison to the CAPM. In the case of Croatian stock market, size and B/M factors are not always significant, but on average … missed by the market factor. Moreover, B/M factor has shown as a stronger common risk proxy in relation to size factor …

This paper studies the historical time-varying dynamics of risk for individual stocks in the U.S. market. Total risk of … idiosyncratic risk and stock returns. The result shows that both components of risk for individual stocks are changing over time … historical point of view, we show that the relation between idiosyncratic risk and stock return is time-varying, and it did not …