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• W2201624920 abstract "The paper is aimed at examining the inter-relationships between firm size, liquidity, idiosyncratic volatility and their relation to a stock's beta and return performance for Australian equities. Our analysis suggests the existence of confounding effects that may need to be recognised in making meaningful interpretations of the data; specifically, that as well as being potentially explanatory of equity performance, beta, liquidity and idiosyncratic volatility are capable of being the outcome of equity performance behaviour. Over and above achieving a degree of clarification on these issues, the paper's main conclusions are summarised as follows. We find no relationship between beta, firm size, liquidity or idiosyncratic volatility and stock returns for large stocks. However, the smallest capitalised stocks markedly outperform the largest capitalised stocks, and for such small capitalised stocks those with greater idiosyncratic volatility have markedly superior returns." @default.
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• W2201624920 date "2007-01-01" @default.
• W2201624920 modified "2023-09-26" @default.
• W2201624920 title "Are beta, firm size, liquidity and idiosyncratic volatility related to stock returns? Australian evidence" @default.
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