Following recent research on the relevance of idiosyncratic risk in asset pricing models, Lionel Martellini proposes to use total volatility as a model-free estimate of a stock's excess expected return, and analyze the implications in terms of the design of improved equity benchmarks.
Professor of Finance and Scientific Director of the EDHEC Risk and Asset Management Research Centre
Type: | Working paper |
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Date: | le 13/10/2008 |
Extra information : | Pour plus d'informations, nous vous prions de vous adresser à Séverine Anjubault, Direction de la recherche de l'EDHEC [ [email protected] ] Les opinions exprimées sont celles des auteurs et n'engagent pas la responsabilité de l'EDHEC. |
Research Cluster : | Finance |