Idiosyncratic Risk Matters!
Détails
ID Serval
serval:BIB_454297A06CA1
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Idiosyncratic Risk Matters!
Périodique
Journal of Finance
ISSN
0022-1082
Statut éditorial
Publié
Date de publication
06/2003
Peer-reviewed
Oui
Volume
58
Numéro
3
Pages
975-1007
Langue
anglais
Résumé
This paper takes a new look at the predictability of stock market returns with risk measures. We find a significant positive relation between average stock variance (largely idiosyncratic) and the return on the market. In contrast, the variance of the market has no forecasting power for the market return. These relations persist after we control for macroeconomic variables known to forecast the stock market. The evidence is consistent with models of time-varying risk premia based on background risk and investor heterogeneity Alternatively, our findings can be justified by the option value of equity in the capital structure of the firms.
Mots-clé
Expected stock returns, asset prices, investment performance, empirical tests, dividend yields, market returns, volatility, model, heteroskedasticity, equilibrium
Web of science
Création de la notice
07/07/2009 14:45
Dernière modification de la notice
20/08/2019 14:50