TY - JOUR
T1 - Does idiosyncratic volatility matter? New Zealand evidence
AU - Drew, Michael E.
AU - Marsden, Alastair
AU - Veeraraghavan, Madhu
PY - 2007/9
Y1 - 2007/9
N2 - Standard asset pricing models ignore idiosyncratic risk. In this study, we examine if idiosyncratic or unique risk affects returns for New Zealand stocks using the factor portfolio mimicking approach of Fama and French (1993, 1996). We find evidence of a negative relationship between firm size and a stock's idiosyncratic volatility. We also find that high idiosyncratic volatility firms have high betas and generate low earnings on book equity.
AB - Standard asset pricing models ignore idiosyncratic risk. In this study, we examine if idiosyncratic or unique risk affects returns for New Zealand stocks using the factor portfolio mimicking approach of Fama and French (1993, 1996). We find evidence of a negative relationship between firm size and a stock's idiosyncratic volatility. We also find that high idiosyncratic volatility firms have high betas and generate low earnings on book equity.
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U2 - 10.1142/S0219091507001070
DO - 10.1142/S0219091507001070
M3 - Article
AN - SCOPUS:34548782662
SN - 0219-0915
VL - 10
SP - 289
EP - 308
JO - Review of Pacific Basin Financial Markets and Policies
JF - Review of Pacific Basin Financial Markets and Policies
IS - 3
ER -