Idiosyncratic Risk, Investor Base, and Returns
研究发现，投资者基础小的股票（被忽视的股票）特质风险溢价更高，而投资者基础大的股票（知名股票）溢价较小或经济上不显著，支持Merton的市场分割理论。
Using four different proxies for a firm's investor base we demonstrate that idiosyncratic risk premiums are larger for neglected stocks and smaller or economically insignificant for visible stocks. Since neglected stocks have greater idiosyncratic volatility (IV), the total IV risk premium (price × quantity) for neglected stocks will be greater than that of visible stocks. Additionally, we find a positive size effect and negative beta effect after controlling for IV. Overall, our results provide strong support for Merton's theory that market segmentation induced by incomplete information is an important component of the influence of IV in the cross‐section of returns.