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Idiosyncratic risk does not matter: A re-examination of the relationship between average returns and average volatilities

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  • Wei, Steven X.
  • Zhang, Chu
Abstract
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  • Wei, Steven X. & Zhang, Chu, 2005. "Idiosyncratic risk does not matter: A re-examination of the relationship between average returns and average volatilities," Journal of Banking & Finance, Elsevier, vol. 29(3), pages 603-621, March.
    • Handle: RePEc:eee:jbfina:v:29:y:2005:i:3:p:603-621
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    References listed on IDEAS

    as
    1. John Y. Campbell & Martin Lettau & Burton G. Malkiel & Yexiao Xu, 2001. "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," Journal of Finance, American Finance Association, vol. 56(1), pages 1-43, February.
    2. Harvey, Campbell R., 2001. "The specification of conditional expectations," Journal of Empirical Finance, Elsevier, vol. 8(5), pages 573-637, December.
    3. repec:bla:jfinan:v:58:y:2003:i:3:p:975-1008 is not listed on IDEAS
    4. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
    5. French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September.
    6. Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-887, September.
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