Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 11, 2009 erstellt
Beschreibung:
We find a positive and significant relation between forecasted idiosyncratic volatility andreturns in a large international database covering 57 countries with over three million firmmonthobservations from July 1995 to June 2016. Our empirical results reveal substantialcross-country variation in the magnitude of the idiosyncratic risk premiums. Consistentwith classic asset pricing theory (e.g., Markowitz, 1959; Merton, 1987), we find thatidiosyncratic risk premiums are positively associated with investor impediments toportfolio diversification. Specifically, idiosyncratic risk premiums are larger in countrieswith less developed financial markets, higher transaction costs, and larger market shares ofneglected stocks