English, Article edition: Does Idiosyncratic Volatility Matter? New Zealand Evidence Michael E. Drew; Alastair Marsden; Madhu Veeraraghavan

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Physical Description
  • article
Language
  • English

Edition details

Title
  • Does Idiosyncratic Volatility Matter? New Zealand Evidence
Author
  • Michael E. Drew
  • Alastair Marsden
  • Madhu Veeraraghavan
Physical Description
  • article
Notes
  • 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.
  • Idiosyncratic volatility, asset pricing, unique risk, JEL Classification: G120, JEL Classification: G150
  • RePEc:wsi:rpbfmp:v:10:y:2007:i:03:p:289-308
Language
  • English
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