Does idiosyncratic risk matter? Evidence from European stock markets

Timotheos Angelidis and Nikolaos Tessaromatis

Applied Financial Economics, 2007, vol. 18, issue 2, 125-137

Abstract: This article examines if idiosyncratic risk can forecast stock returns for 10 European markets. We found little evidence to suggest that idiosyncratic volatility, equally or value weighted, can predict future stock market returns. However, we found that idiosyncratic risk measured as the equally weighted average variance of all stocks can significantly predict future size and value premia.

Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/09603100601118276 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apfiec:v:18:y:2007:i:2:p:125-137

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20

DOI: 10.1080/09603100601118276

Access Statistics for this article

Applied Financial Economics is currently edited by Anita Phillips

More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().