Idiosyncratic risk in the Dow Jones Eurostoxx50 Index
AbstractRecent evidence by Campbell et al. [J.Y. Campbell, M. Lettau B.G. Malkiel, Y. Xu, Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk, The Journal of Finance (February) (2001)] shows an increase in firm-level volatility and a decline of the correlation among stock returns in the US. In relation to the Euro-Area stock markets, we find that both aggregate firm-level volatility and average stock market correlation have trended upwards.
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Bibliographic InfoArticle provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.
Volume (Year): 387 (2008)
Issue (Month): 16 ()
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Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/
Idiosyncratic risk; Intemporal capital asset pricing model (ICAPM); Dow Jones Eurostoxx50 Index; Efficient market hypothesis (EMH);
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