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dc.contributor.authorDrew, ME
dc.contributor.authorNaughton, T
dc.contributor.authorVeeraraghavan, M
dc.date.accessioned2018-03-29T03:56:13Z
dc.date.available2018-03-29T03:56:13Z
dc.date.issued2004
dc.date.modified2010-07-28T06:58:59Z
dc.identifier.issn1057-5219
dc.identifier.doi10.1016/j.irfa.2004.02.027
dc.identifier.urihttp://hdl.handle.net/10072/32682
dc.description.abstractThis paper employs the mimicking portfolio approach of Fama and French [J. Finance 51 (1996) 55] and asks whether idiosyncratic volatility is priced for equities listed in the Shanghai Stock Exchange (SSE). The paper also provides evidence on whether returns on small stocks are higher in January than in the remaining months. Our findings reveal that (a) idiosyncratic volatility is priced and (b) the multifactor model provides a better description of average returns than the traditional capital asset pricing model (CAPM). We also find that the absolute pricing errors of the CAPM are large when compared with the multifactor model. We argue that firm size and idiosyncratic volatility may serve as proxies for systematic risk. We also dismiss the claim that returns on small stocks are on average higher in January than in the remaining months. In summary, investors interested in taking additional risks should invest in small and low-idiosyncratic-volatility firms in addition to the market portfolio. This is because our findings indicate that investors can generate substantial returns by investing in strategies unrelated to market movements.
dc.description.peerreviewedYes
dc.description.publicationstatusYes
dc.languageEnglish
dc.language.isoeng
dc.publisherElsevier
dc.publisher.placeNetherlands
dc.relation.ispartofpagefrom349
dc.relation.ispartofpageto366
dc.relation.ispartofissue3
dc.relation.ispartofjournalInternational Review of Financial Analysis
dc.relation.ispartofvolume13
dc.subject.fieldofresearchAccounting, auditing and accountability
dc.subject.fieldofresearchBanking, finance and investment
dc.subject.fieldofresearchBanking, finance and investment not elsewhere classified
dc.subject.fieldofresearchcode3501
dc.subject.fieldofresearchcode3502
dc.subject.fieldofresearchcode350299
dc.titleIs idiosyncratic volatility priced?: Evidence from the Shanghai Stock Exchange
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
dcterms.licensehttp://creativecommons.org/licenses/by-nc-nd/4.0/
dc.description.versionAccepted Manuscript (AM)
gro.rights.copyright© 2004 Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International Licence (http://creativecommons.org/licenses/by-nc-nd/4.0/) which permits unrestricted, non-commercial use, distribution and reproduction in any medium, providing that the work is properly cited.
gro.date.issued2004
gro.hasfulltextFull Text
gro.griffith.authorDrew, Michael E.


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