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dc.contributor.authorDrew, ME
dc.contributor.authorMalin, M
dc.contributor.authorNaughton, T
dc.contributor.authorVeeraraghavan, M
dc.date.accessioned2017-05-03T14:05:52Z
dc.date.available2017-05-03T14:05:52Z
dc.date.issued2006
dc.date.modified2010-02-24T06:25:43Z
dc.identifier.issn1086-7376
dc.identifier.doi10.1108/10867370610683897
dc.identifier.urihttp://hdl.handle.net/10072/14025
dc.description.abstractAbstract: Purpose - Malkiel and Xu state that idiosyncratic volatility is highly correlated with size and that it plays a powerful role in explaining expected returns. The purpose of this paper is to ask whether idiosyncratic volatility is useful in explaining the variation in expected returns; and whether the findings can be explained by the turn of the year effect. Design/methodology/design - Monthly stock returns and market values of all listed firms in Germany and UK covering the period 1991-2001 from Datastream are used as the basis of the evaluation. Findings - The paper finds that the three-factor model provides a better description of expected returns than the Capital Asset Pricing Model (CAPM). That is, it is found that firm size and idiosyncratic volatility are related to security returns. In addition, it is noted that the findings are robust throughout the sample period.
dc.description.peerreviewedYes
dc.description.publicationstatusYes
dc.languageEnglish
dc.language.isoeng
dc.publisherEmerald Group Publishing Limited
dc.publisher.placeUK
dc.relation.ispartofstudentpublicationN
dc.relation.ispartofpagefrom80
dc.relation.ispartofpageto93
dc.relation.ispartofissue2
dc.relation.ispartofjournalStudies in Economics and Finance
dc.relation.ispartofvolume23
dc.rights.retentionY
dc.subject.fieldofresearchBanking, finance and investment
dc.subject.fieldofresearchAccounting, auditing and accountability
dc.subject.fieldofresearchApplied economics
dc.subject.fieldofresearchcode3502
dc.subject.fieldofresearchcode3501
dc.subject.fieldofresearchcode3801
dc.titleIdiosyncratic volatility and security returns: evidence from Germany and United Kingdom
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
gro.facultyGriffith Business School, Department of Accounting, Finance and Economics
gro.date.issued2006
gro.hasfulltextNo Full Text
gro.griffith.authorDrew, Michael E.
gro.griffith.authorMalin, Mirela D.


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