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dc.contributor.authorDrew, ME
dc.contributor.authorMarsden, A
dc.contributor.authorVeeraraghavan, M
dc.date.accessioned2017-05-03T11:46:34Z
dc.date.available2017-05-03T11:46:34Z
dc.date.issued2007
dc.date.modified2010-08-02T07:21:07Z
dc.identifier.issn0219-0915
dc.identifier.urihttp://hdl.handle.net/10072/33083
dc.description.abstractStandard 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.
dc.description.peerreviewedYes
dc.description.publicationstatusYes
dc.languageEnglish
dc.language.isoeng
dc.publisherWorld Scientific Publishing Co. Pte. Ltd.
dc.publisher.placeSingapore
dc.publisher.urihttp://www.worldscinet.com/rpbfmp
dc.relation.ispartofstudentpublicationN
dc.relation.ispartofpagefrom289
dc.relation.ispartofpageto308
dc.relation.ispartofissue3
dc.relation.ispartofjournalReview of Pacific Basin Financial Markets and Policies
dc.relation.ispartofvolume10
dc.rights.retentionY
dc.subject.fieldofresearchBanking, finance and investment
dc.subject.fieldofresearchBanking, finance and investment not elsewhere classified
dc.subject.fieldofresearchcode3502
dc.subject.fieldofresearchcode350299
dc.titleDoes Idiosyncratic Volatility Matter? New Zealand Evidence
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
gro.date.issued2007
gro.hasfulltextNo Full Text
gro.griffith.authorDrew, Michael E.


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    Contains articles published by Griffith authors in scholarly journals.

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