Bali is at Baruch College of the City University of New York. Cakici is at City College of the City University of New York. Yan is at the University of Missouri – Columbia. Zhang is at Singapore Management University. Most of the work was completed when he was at the University of Iowa. We thank Linda Allen, David Bates, Stephen Haggard, John Howe, Haim Levy, Ming Liu, Tim Loughran, Salih Neftci, Shawn Ni, Lin Peng, Robert Schwartz, Ashish Tiwari, Shu Wu, and especially John Campbell, Richard Green (the editor), Martin Lettau, John Merrick, Robert Stambaugh (the editor), and two anonymous referees for their extremely helpful comments and suggestions. We also benefited from discussions with Archishman Chakraborty, Jay Dahya, Gayle Delong, Charlotte Hansen, Armen Hovakimian, and Rui Yao on certain theoretical and empirical points. An earlier version of this paper was presented at the Baruch College, City College, Graduate School and University Center of the City University of New York, and at the Third Annual Missouri Economics Conference. Turan Bali gratefully acknowledges the financial support from the PSC-CUNY Research Foundation of the City University of New York. All errors remain our responsibility.
Does Idiosyncratic Risk Really Matter?
Version of Record online: 2 MAR 2005
© 2005 the American Finance Association
The Journal of Finance
Volume 60, Issue 2, pages 905–929, April 2005
How to Cite
BALI, T. G., CAKICI, N., YAN, X. and ZHANG, Z. (2005), Does Idiosyncratic Risk Really Matter?. The Journal of Finance, 60: 905–929. doi: 10.1111/j.1540-6261.2005.00750.x
- Issue online: 2 MAR 2005
- Version of Record online: 2 MAR 2005
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