The DOI matches its Crossref record; 80 of the 80 references it cites were found in a registry or an index.
Idiosyncratic Risk Matters!
Open accessAbstract
This paper takes a new look at the predictability of stock market returns with risk measures. We find a significant positive relation between average stock variance (largely idiosyncratic) and the return on the market. In contrast, the variance of the market has no forecasting power for the market return. These relations persist after we control for macroeconomic variables known to forecast the stock market. The evidence is consistent with models of time‐varying risk premia based on background risk and investor heterogeneity. Alternatively, our findings can be justified by the option value of equity in the capital structure of the firms.
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Citations
Cites
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Efron, B., & Tibshirani, R. J. (1994) · doi:10.1201/9780429246593 · Cited by 40,500
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Black, F., & Scholes, M. (1973) · Journal of Political Economy · doi:10.1086/260062 · Cited by 29,074
An Introduction to the Bootstrap
Efron, B., & Tibshirani, R. J. (1993) · doi:10.1007/978-1-4899-4541-9 · Cited by 21,230
Risk, Return, and Equilibrium: Empirical Tests
Fama, E. F., & MacBeth, J. D. (1973) · Journal of Political Economy · doi:10.1086/260061 · Cited by 14,258
ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*
Merton, R. C. (1974) · The Journal of Finance · doi:10.1111/j.1540-6261.1974.tb03058.x · Cited by 10,581
Conditional Heteroskedasticity in Asset Returns: A New Approach
Nelson, D. B. (1991) · Econometrica · doi:10.2307/2938260 · Cited by 10,236
On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
GLOSTEN, L. R., JAGANNATHAN, R., & RUNKLE, D. E. (1993) · The Journal of Finance · doi:10.1111/j.1540-6261.1993.tb05128.x · Cited by 9,008
Bootstrap Methods and their Application
Davison, A. C., & Hinkley, D. V. (1997) · doi:10.1017/cbo9780511802843 · Cited by 7,350
An Intertemporal Capital Asset Pricing Model
Merton, R. C. (1973) · Econometrica · doi:10.2307/1913811 · Cited by 6,508
A Simple Model of Capital Market Equilibrium with Incomplete Information
MERTON, R. C. (1987) · The Journal of Finance · doi:10.1111/j.1540-6261.1987.tb04565.x · Cited by 5,811
Cited by
LINS, K. V., SERVAES, H., & TAMAYO, A. (2017) · The Journal of Finance · doi:10.1111/jofi.12505 · Cited by 3,794
Naive Diversification Strategies in Defined Contribution Saving Plans
Benartzi, S., & Thaler, R. H. (2001) · American Economic Review · doi:10.1257/aer.91.1.79 · Cited by 1,537
Equity Volatility and Corporate Bond Yields
Campbell, J. Y., & Taksler, G. B. (2003) · The Journal of Finance · doi:10.1046/j.1540-6261.2003.00607.x · Cited by 1,206
Market Frictions, Price Delay, and the Cross-Section of Expected Returns
Hou, K., & Moskowitz, T. J. (2005) · Review of Financial Studies · doi:10.1093/rfs/hhi023 · Cited by 1,083
Luo, X., & Bhattacharya, C. B. (2009) · Journal of Marketing · doi:10.1509/jmkg.73.6.198 · Cited by 962
Metadata
- Authors
- Goyal, A., & Santa‐Clara, P.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2003-05-06
- Volume
- 58
- Issue
- 3
- Pages
- 975-1007
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W3122824160
- Cited by
- 1,161
- References
- 80
- FWCI
- 63.48
- Type
- journal article
- Language
- en
- Open access
- bronze
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Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
