Idiosyncratic volatility and the pricing of poorly-diversified portfolios
(2013)
Journal Article
Miffre, J., Brooks, C., & Li, X. (2013). Idiosyncratic volatility and the pricing of poorly-diversified portfolios. International Review of Financial Analysis, 30, 78-85. https://doi.org/10.1016/j.irfa.2013.05.007
This article examines the role of idiosyncratic volatility in explaining the cross-sectional variation of size- and value-sorted portfolio returns. We show that the premium for bearing idiosyncratic volatility varies inversely with the number of stoc... Read More about Idiosyncratic volatility and the pricing of poorly-diversified portfolios.