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1、TheFinancialReview42(2007)507--535CanAssetPricingModelsPriceIdiosyncraticRiskinU.K.StockReturns?JonathanFletcher∗UniversityofStrathclydeAbstractIexaminehowwelldifferentlinearfactormodelsandconsumption-basedassetpricingmodelspriceidiosyncraticriskinU.K.stockreturns.C
2、orrectlypricingidiosyncraticriskisasignificantchallengeformanyofthemodelsIconsider.Forsomeconsumption-basedmodels,thereisacleartradeoffintheperformanceofthemodelsbetweencorrectlypricingsystematicriskandidiosyncraticrisk.Linearfactormodelsdoabetterjobinmostcasesinpri
3、cingsystematicriskthanconsumption-basedmodelsbutthereverseistrueforidiosyncraticrisk.Keywords:idiosyncraticrisk,stochasticdiscountfactorJELClassification:G121.IntroductionAnumberofrecentstudiesexaminetheimportanceofidiosyncraticriskincross-sectionalstockreturnsandth
4、etime-seriespredictabilityofreturns.MuchofthisresearchhasbeenspurredbythefindinginCampbell,Lettau,MalkielandXu(2001)thatidiosyncraticriskhasincreasedinU.S.stockreturnsinrecentdecades.AngelidisandTessaromatis(2004)reportsimilartrendsinU.K.stockreturns.However,Bekaert
5、,HodrickandZhang(2005)failtofindasignificanttrendinidiosyncraticriskintheG7countries.∗Correspondingauthor:DepartmentofAccountingandFinance,UniversityofStrathclyde,CurranBuild-ing,100CathedralStreet,Glasgow,G40LN,UnitedKingdom;Phone:+44(0)1415483892;Fax:+44(0)1415523
6、547;E-mail:j.fletcher@strath.ac.ukTheauthorisgratefulforhelpfulcommentsfromtwoanonymousreviewersandCynthiaJ.Campbell(Editor).C2007,TheEasternFinanceAssociation507508J.Fletcher/TheFinancialReview42(2007)507–535GoyalandSanta-Clara(2003),BrownandFerreria(2004),Angelid
7、isandTessaromatis(2004)andBali,Cakici,YanandZhang(2005)examinethetime-seriespredictiveabilityofidiosyncraticriskoffutureU.S.andU.K.marketexcessreturns.GoyalandSanta-Clara(2003)findthatidiosyncraticriskhaspredictivepoweroffutureU.S.excessmarketreturns,butthisrelation
8、isdisputedbyBali,Cakici,YanandZhang.BrownandFerreriafindthatthepredictiveabilityoffuturemarketreturnsisdrivenbytheidiosyncraticriskofsmall
