Does Idiosyncratic Risk Matter in the Brazilian Capital Market?
This paper analyses the relationship between idiosyncratic risk and diversified portfolio returns on Brazil’s capital market. Following Goyal and Santa-Clara (2003) and Bali et alii (2005) we use volatility measures that capture systematic and idiosyncratic risk. For the identification of the relati...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Brazilian Society of Finance
2007-06-01
|
| Series: | Revista Brasileira de Finanças |
| Subjects: | |
| Online Access: | http://virtualbib.fgv.br/ojs/index.php/rbfin/article/view/1165 |