Does idiosyncratic risk matter? Evidence from European stock markets

• Autores: T. Angelidis, N. Tessaromatis
• Localización: Applied financial economics, ISSN 0960-3107, Vol. 18, Nº. 1-3, 2008, págs. 125-137
• Idioma: inglés
• Texto completo no disponible (Saber más ...)
• Resumen

  • This article examines if idiosyncratic risk can forecast stock returns for 10 European markets. We found little evidence to suggest that idiosyncratic volatility, equally or value weighted, can predict future stock market returns. However, we found that idiosyncratic risk measured as the equally weighted average variance of all stocks can significantly predict future size and value premia.