Does idiosyncratic risk really matter ?

Deskripsi

Goyal and Santa-Clara (2003) find a significantly positive relation between the equalweighted average stock volatility and the value-weighted portfolio returns on the NYSE/AMEX/Nasdaq stocks for the period of 1963:08 to 1999:12. we show that this result is driven by small stocks traded on the Nasdaq, and is in part due to a liquidity premium..Printed Journal