메뉴 건너뛰기




Volumn 18, Issue 2, 2008, Pages 125-137

Does idiosyncratic risk matter? Evidence from European stock markets

Author keywords

[No Author keywords available]

Indexed keywords

FORECASTING METHOD; MARKET CONDITIONS; STOCK MARKET;

EID: 36749002238     PISSN: 09603107     EISSN: 14664305     Source Type: Journal    
DOI: 10.1080/09603100601118276     Document Type: Article
Times cited : (9)

References (43)
  • 4
    • 16244399196 scopus 로고    scopus 로고
    • Does idiosyncratic risk really matter?
    • Bali, T., Cakici, N., Yan, X. and Zhang, Z. (2005) Does idiosyncratic risk really matter?. Journal of Finance, 60, pp. 905-929.
    • (2005) Journal of Finance , vol.60 , pp. 905-929
    • Bali, T.1    Cakici, N.2    Yan, X.3    Zhang, Z.4
  • 5
    • 0037497348 scopus 로고    scopus 로고
    • Trading is hazardous to your wealth: The common stock investment performance of individual investors
    • Barber, BM and Odean, T. (2000) Trading is hazardous to your wealth: The common stock investment performance of individual investors. Journal of Finance, 55, pp. 773-806.
    • (2000) Journal of Finance , vol.55 , pp. 773-806
    • Barber, B.M.1    Odean, T.2
  • 6
    • 0007935565 scopus 로고    scopus 로고
    • Naíve diversification strategies in defined contribution saving plan
    • Benartzi, S. and Thaler, RH (2001) Naíve diversification strategies in defined contribution saving plan. American Economic Review, 91, pp. 79-98.
    • (2001) American Economic Review , vol.91 , pp. 79-98
    • Benartzi, S.1    Thaler, R.H.2
  • 9
    • 0344839169 scopus 로고
    • Stock returns and the term structure
    • Campbell, J. (1987) Stock returns and the term structure. Journal of Financial Economics, 18, pp. 373-399.
    • (1987) Journal of Financial Economics , vol.18 , pp. 373-399
    • Campbell, J.1
  • 10
    • 0002519023 scopus 로고    scopus 로고
    • Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk
    • Campbell, J., Lettau, M., Malkiel, B. and Xu, Y. (2001) Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk. Journal of Finance, 56, pp. 1-43.
    • (2001) Journal of Finance , vol.56 , pp. 1-43
    • Campbell, J.1    Lettau, M.2    Malkiel, B.3    Xu, Y.4
  • 11
  • 13
    • 0033249529 scopus 로고    scopus 로고
    • Murphy's law and market anomalies: The size premium may have gone in reverse, but the size effect lives on
    • Dimson, E. and Marsh, P. (1999) Murphy's law and market anomalies: The size premium may have gone in reverse, but the size effect lives on. Journal of Portfolio Management, 25, pp. 53-69.
    • (1999) Journal of Portfolio Management , vol.25 , pp. 53-69
    • Dimson, E.1    Marsh, P.2
  • 15
    • 0040063451 scopus 로고    scopus 로고
    • Cost of transacting and expected returns in the Nasdaq market
    • Eleswarapu, VR (1997) Cost of transacting and expected returns in the Nasdaq market. Journal of Finance, 52, pp. 2113-2127.
    • (1997) Journal of Finance , vol.52 , pp. 2113-2127
    • Eleswarapu, V.R.1
  • 16
    • 0011183797 scopus 로고    scopus 로고
    • Preferences for stock characteristic as revealed by mutual fund portfolio holdings
    • Falkenstein, EG (1996) Preferences for stock characteristic as revealed by mutual fund portfolio holdings. Journal of Finance, 51, pp. 111-135.
    • (1996) Journal of Finance , vol.51 , pp. 111-135
    • Falkenstein, E.G.1
  • 17
    • 0030376325 scopus 로고    scopus 로고
    • Multifactor portfolio efficiency and multifactor asset pricing
    • Fama, E. (1996) Multifactor portfolio efficiency and multifactor asset pricing. Journal of Financial and Quantitative Analysis, 31, pp. 441-465.
    • (1996) Journal of Financial and Quantitative Analysis , vol.31 , pp. 441-465
    • Fama, E.1
  • 18
    • 84977737676 scopus 로고
    • The cross-section of expected stock returns
    • Fama, EF and French, KR (1992) The cross-section of expected stock returns. Journal of Finance, 47, pp. 427-465.
    • (1992) Journal of Finance , vol.47 , pp. 427-465
    • Fama, E.F.1    French, K.R.2
  • 19
    • 38549147867 scopus 로고
    • Common risk factors in the returns on stocks and bonds
    • Fama, EF and French, KR (1993) Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33, pp. 3-56.
    • (1993) Journal of Financial Economics , vol.33 , pp. 3-56
    • Fama, E.F.1    French, K.R.2
  • 21
    • 84993601065 scopus 로고
    • On the relation between the expected value and the volatility of the nominal excess return on stocks
    • Glosten, L., Jagannathan, R. and Runkle, D. (1993) On the relation between the expected value and the volatility of the nominal excess return on stocks. Journal of Finance, 48, pp. 1779-1801.
    • (1993) Journal of Finance , vol.48 , pp. 1779-1801
    • Glosten, L.1    Jagannathan, R.2    Runkle, D.3
  • 22
    • 0142168851 scopus 로고    scopus 로고
    • Idiosyncratic risk matters!
    • Goyal, A. and Santa-Clara, P. (2003) Idiosyncratic risk matters!. Journal of Finance, 58, pp. 975-1008.
    • (2003) Journal of Finance , vol.58 , pp. 975-1008
    • Goyal, A.1    Santa-Clara, P.2
  • 24
    • 30744467677 scopus 로고    scopus 로고
    • Idiosyncratic volatility, stock market volatility and expected stock returns
    • Guo, H. and Savickas, R. (2006) Idiosyncratic volatility, stock market volatility and expected stock returns. Journal of Business and Economic Statistics, 24, pp. 43-56.
    • (2006) Journal of Business and Economic Statistics , vol.24 , pp. 43-56
    • Guo, H.1    Savickas, R.2
  • 25
    • 0000425816 scopus 로고
    • Time-varying conditional covariances in tests of asset pricing models
    • Harvey, R. (1989) Time-varying conditional covariances in tests of asset pricing models. Journal of Financial Economics, 24, pp. 289-317.
    • (1989) Journal of Financial Economics , vol.24 , pp. 289-317
    • Harvey, R.1
  • 27
    • 0000391884 scopus 로고    scopus 로고
    • Unit root tests in panel data: Asymptotic and finite-sample prosperities
    • Levin, A., Lin, CF and Chu, C. (2002) Unit root tests in panel data: asymptotic and finite-sample prosperities. Journal of Econometrics, 108, pp. 1-24.
    • (2002) Journal of Econometrics , vol.108 , pp. 1-24
    • Levin, A.1    Lin, C.F.2    Chu, C.3
  • 28
    • 0000473546 scopus 로고    scopus 로고
    • Can book-to-market, size and momentum be risk factors that predict economic growth?
    • Liew, J. and Vassalou, M. (2000) Can book-to-market, size and momentum be risk factors that predict economic growth?. Journal of Financial Economics, 57, pp. 221-245.
    • (2000) Journal of Financial Economics , vol.57 , pp. 221-245
    • Liew, J.1    Vassalou, M.2
  • 29
    • 0001561481 scopus 로고
    • Data-snooping biases in tests of financial asset pricing models
    • Lo, A. and MacKinlay, A. (1990) Data-snooping biases in tests of financial asset pricing models. Review of Financial Studies, 3, pp. 431-467.
    • (1990) Review of Financial Studies , vol.3 , pp. 431-467
    • Lo, A.1    MacKinlay, A.2
  • 31
    • 0001738730 scopus 로고
    • An intertemporal capital asset pricing model
    • Merton, R. (1973) An intertemporal capital asset pricing model. Econometrica, 41, pp. 867-887.
    • (1973) Econometrica , vol.41 , pp. 867-887
    • Merton, R.1
  • 32
    • 84977707554 scopus 로고
    • Presidential address: A simple model of capital market equilibrium with incomplete information
    • Merton, RC (1987) Presidential address: A simple model of capital market equilibrium with incomplete information. Journal of Finance, 42, pp. 483-510.
    • (1987) Journal of Finance , vol.42 , pp. 483-510
    • Merton, R.C.1
  • 33
    • 0000706085 scopus 로고
    • A simple positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
    • Newey, W. and West, K. (1987) A simple positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica, 55, pp. 703-708.
    • (1987) Econometrica , vol.55 , pp. 703-708
    • Newey, W.1    West, K.2
  • 34
    • 0040409763 scopus 로고    scopus 로고
    • Working Paper, Nortwestern University
    • Polk, C. (2000) The market as a hedge, Working Paper, Nortwestern University
    • (2000) The Market As a Hedge
    • Polk, C.1
  • 36
    • 0039165833 scopus 로고    scopus 로고
    • Resolving the puzzling intertemporal relation between the market risk premium and conditional market variance: A two-factor approach
    • Scruggs, TJ (1998) Resolving the puzzling intertemporal relation between the market risk premium and conditional market variance: A two-factor approach. The Journal of Finance, 53, pp. 575-603.
    • (1998) The Journal of Finance , vol.53 , pp. 575-603
    • Scruggs, T.J.1
  • 37
    • 38249004914 scopus 로고
    • A Markov model of heteroskedasticity, risk and learning in the stock market
    • Turner, C., Startz, R. and Nelson, C. (1989) A Markov model of heteroskedasticity, risk and learning in the stock market. Journal of Financial Economics, 25, pp. 3-22.
    • (1989) Journal of Financial Economics , vol.25 , pp. 3-22
    • Turner, C.1    Startz, R.2    Nelson, C.3
  • 39
    • 0001760867 scopus 로고    scopus 로고
    • Trend function hypothesis testing in the presence of serial correlation
    • Vogelsang, T. (1998) Trend function hypothesis testing in the presence of serial correlation. Econometrica, 66, pp. 123-148.
    • (1998) Econometrica , vol.66 , pp. 123-148
    • Vogelsang, T.1
  • 40
    • 11344288077 scopus 로고    scopus 로고
    • Idiosyncratic risk does not matter: A re-examination of the relationship between average returns and average volatilities
    • Wei, XS and Zhang, C. (2005) Idiosyncratic risk does not matter: A re-examination of the relationship between average returns and average volatilities. Journal of Banking and Finance, 29, pp. 603-621.
    • (2005) Journal of Banking and Finance , vol.29 , pp. 603-621
    • Wei, X.S.1    Zhang, C.2
  • 41
    • 84993911684 scopus 로고
    • Time variations and covariations in the expectation and volatility of stock market returns
    • Whitelaw, R. (1994) Time variations and covariations in the expectation and volatility of stock market returns. Journal of Finance, 49, pp. 515-541.
    • (1994) Journal of Finance , vol.49 , pp. 515-541
    • Whitelaw, R.1
  • 43
    • 84946357749 scopus 로고
    • An efficient method of estimating seemingly unrelated regressions and tests of aggregations bias
    • Zellener, A. (1962) An efficient method of estimating seemingly unrelated regressions and tests of aggregations bias. Journal of the American Statistical Association, 57, pp. 348-368.
    • (1962) Journal of the American Statistical Association , vol.57 , pp. 348-368
    • Zellener, A.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.