Isolating the systematic and unsystematic components of a single stock’s (or portfolio’s) standard deviation: a comment (AE 2015)

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Contents

Article

Authors Title Journal Year Edition Pages JEL Codes Keywords
Fabio Pizzutilo Isolating the systematic and unsystematic components of a single stock’s (or portfolio’s) standard deviation: a comment AE 2015 58 6277-83 G10, G11, A20 Systematic risk, Unsystematic risk, Capital asset pricing model, Beta, Conditional correlation, Conditional covariance

Article information

Program code Data Readme Method(s) & estimation Data type Data used Origin of data used Software used (Version)
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This article is a replication of

Authors Title Journal Year Edition Pages JEL Codes Keywords Replication type Replication result [refer to replication type 1 and 2] Raw data Call into question Authors statement
Cara M. Marshall Isolating the systematic and unsystematic components of a single stock’s (or portfolio’s) standard deviation AE 2015 1 1-11 G10, G11, A20 Systematic risk, Unsystematic risk, Capital asset pricing model, Dispersion trading, Beta - 2 - failed (different results) - 1 - yes -

References

DOI: 10.1080/00036846.2015.1068925 IDEAS: a/taf/applec/v47y2015i58p6277-6283.html EconPapers: RePEc:taf:applec:v:47:y:2015:i:58:p:6277-6283


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