Show simple item record

dc.contributor.advisorTourani-Rad, Alireza
dc.contributor.advisorFrijns, Bart
dc.contributor.authorHur, Thomas
dc.date.accessioned2010-10-27T00:31:47Z
dc.date.available2010-10-27T00:31:47Z
dc.date.copyright2010
dc.date.issued2010-10-27
dc.identifier.urihttp://hdl.handle.net/10292/1033
dc.description.abstractAfter Ang, Hodrick, Xing and Zhang (2006) found a negative relationship between idiosyncratic volatility and return, researchers have extensively debated the relationship between the two. Previous literature however has been limited to cross-sectional analyses which can be biased if firm and time effects exist in data. This research adopts the twodimensional clustered standard errors approach, recommended by Petersen (2009) and Thompson (2009) and finds a negative relationship between idiosyncratic risk and expected return in the Australian market over the period of August 1999 to February 2010. The negative relationship is even clearly shown among the above average size equities. In addition, the Australian equities returns are positively related to size and book-to-market ratio on the two-dimensional clustered standard errors approach.
dc.language.isoenen_NZ
dc.publisherAuckland University of Technology
dc.subjectAustralian stock market
dc.subjectIdiosyncratic volatility
dc.subjectTwo dimensional standard error
dc.subjectPanel data
dc.subjectFama French factor
dc.subjectFama MacBeth regression
dc.titleIdiosyncratic volatility and expected return in the Australian market
dc.typeThesis
thesis.degree.grantorAuckland University of Technology
thesis.degree.levelMasters Dissertations
thesis.degree.nameMaster of Business
dc.rights.accessrightsOpenAccess
dc.date.updated2010-10-27T00:19:19Z


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record