idiosyncratic risk
Idiosyncratic risk and financial policy
... Given a profile of preferences and a profile of endowments where there are finitely many equi- libria and all of them are Pareto inefficient (a strongly generic condition), a finite-dimensional space of preferences where ...
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Pricing of Idiosyncratic Risk in an Intermediary Asset Pricing Model
... First, we take a single stock approach. We test whether the measure of IVOL are significantly different based on three different factor sets: (i) intermediary leverage mimicking factor (𝐿𝑀𝐹), (ii) 𝐿𝑀𝐹 and market return, ...
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The Ambivalent Role of Idiosyncratic Risk in Asymmetric Tournaments
... determined idiosyncratic risks which are inherent in almost any production or mea- surement ...of risk, whereas we vary the level of idiosyncratic risk— given the level of ...in ...
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Income Smoothing, Idiosyncratic Risk & CEO Turnover
... The controlled variables used in this article include institutional investor shareholding proportion, company scale, book-to-market ratio, return on total asset, debt ratio, share concentration, fluctuation of cash flow ...
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Idiosyncratic Risk and Returns: The Case for a More Efficient Class of Estimators
... relative risk aversion less than or equal to one, asset prices are lower given nonmarketable assets and market ...market risk and the total ...of idiosyncratic risk to expected ...to ...
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Hedge fund seeding via fees-for-seed swap sunder idiosyncratic risk
... is risk averse towards the hedge fund seeding business, thus she suffers the illiquidity discount for her valuation due to unspanned idiosyncratic ...no idiosyncratic risk. We found that the ...
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Does Idiosyncratic Risk Matter? Evidence from the Philippine Stock Market
... between idiosyncratic risk and returns are mixed, ...for idiosyncratic risk in empirical studies is idiosyncratic volatility, which refers to the volatility of a firm’s returns related ...
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Investment, idiosyncratic risk, and ownership
... of idiosyncratic risk to investment across quintiles ranges from − ...of idiosyncratic risk for between the top and bottom ownership quintiles ranges from − ...
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Firm transparency and idiosyncratic risk
... Table 2 presents the empirical results of the simultaneous equation models. The results show that the higher the information transparency, the lower the idiosyncratic risk. That is, information transparency ...
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The impact of time-varying idiosyncratic risk and trading costs on momentum and value strategies
... that the expensive are more momentum strategies be loser high due that to the can characterizedas small stocks selling cost of winners low-cost It low trading volume stocks.. proposesa n[r] ...
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The idiosyncratic risk in Chinese stock market
... Based on the availability of institutional trading data from 2009 to 2018, we first examine the mean statistics of the key variables in our study while sorting the all firm-month observations into ten deciles based on ...
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Idiosyncratic risk assessment in the mortgage market
... [43]. Risk averse households which require a large mortgage, have low equity, are exposed to income risk or any combination of these, choose mortgage products which manage the impact of the interest rate ...
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Analyzing the Idiosyncratic Volatility Character of Emerging Markets: A Post Crisis Investigation on Istanbul Stock Exchange
... of idiosyncratic volatility and its forecasting ability in prediction of future return in Istanbul Stock Exchange (ISE) as an emerging market stock exchange, over the post World Economic Crisis in ...weighted ...
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Financial Analysis of Industrial Portfolios in Pakistan: A Comparative Analysis of Pre 9/11 and Post 9/11Period
... (1965), Idiosyncratic risk, market risk, beta and Jensen’s alpha have been used as a tool for financial analysis of industries as well to measure the response of these industries to 9/11 ...
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Social performance and firm risk : impact of the financial crisis
... and risk comes mainly from ...and idiosyncratic risk during the financial crisis, and that the risk reduction potential of SP is mainly due to the strengths component of ...the risk ...
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Income Diversification and Bank Stability: Evidence from India
... Modern portfolio theory claims that diversification into non-correlated or negatively correlated activities reduces the overall risk of a portfolio. Considering the total income of a bank as a portfolio of ...
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Review of Economic Studies
... Motivation • Welfare analysis in heterogeneous agents models with incomplete insurance against idiosyncratic risk is central to macroeconomics • Examples: welfare effects of a.... change[r] ...
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Investment Model Uncertainty and Fair Pricing
... of idiosyncratic risk, or technological specialization, and thus with the highest level of Ricaridan comparative advantage: utilities, health care, telecommunications and ...
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Self-Financed Duration Matching Portfolios: An Exercise in Commercial Bank Asset-Liability Management
... Following the work of Flannery and Hankins (2013), we use a dynamic panel data model to examine the effects of corporate governance on idiosyncratic risk. Equation (1) includes a lagged dependent variable ...
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Exposure to Common Idiosyncratic Volatility on Stock Returns in ASEAN Stock Markets
... for idiosyncratic risk (Vozlyublennaia, ...of idiosyncratic volatility, Bali & Cakici (2008) still could not find a significant relation between stock returns and idiosyncratic ...and ...
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