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Resumen de Does idiosyncratic risk matter? Evidence from European stock markets

T. Angelidis, N. Tessaromatis

  • 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.


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