Systematic and Idiosyncratic Risk
Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton’s Credit Risk Valuation
... the idiosyncratic risk ...many risk scenarii and various market-linked ...global risk where the global risk level of the …rm de- pends on the systematic and idiosyncratic ...
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Pricing and Hedging Options in Incomplete Markets: Idiosyncratic Risk, Systematic Risk and Stochastic Volatility
... of risk. Indeed, each risky asset depends both on a systematic or market risk, and an idiosyncratic or specific ...a risk dependence is recently employed by Chauveau & Gatfaoui ...
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Effort, Idiosyncratic Risk and Investment Under Uncertainty
... firm’s systematic and idiosyncratic risk on the optimal in- centive ...cratic risk decreases the optimal incentive for the same reasons as in the standard model, while systematic ...
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Systematic and idiosyncratic default risk in synthetic credit markets
... the idiosyncratic factors (see among others Mortensen (2006), Eckner (2007), and Eckner ...for systematic default risk and show how idiosyncratic risk can be left ...estimate ...
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Innovation and Idiosyncratic Risk
... dynamics. Idiosyncratic risk measures the degree to which firm level volatility differs from aggregate market level volatility, where the latter is in most cases taken to be the S&P 500 ...price risk ...
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Investment, idiosyncratic risk, and ownership
... the systematic component of risk is rel- evant for investment decisions, since firm owners are diversified and managers maximize shareholder ...iosyncratic risk projects increase the volatility of ...
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Investor Diversification and the Pricing of Idiosyncratic Risk
... Modern portfolio theory suggests that investors hold diversified portfolios to shirk idiosyncratic risk. The CAPM further predicts that in equilibrium all investors hold the market portfolio and only ...
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Income Smoothing, Idiosyncratic Risk & CEO Turnover
... that idiosyncratic risk should have negative correlation with income ...and idiosyncratic risk, Meulbroek [19] be- lieves that since a manager who avoids risks is only compensated for ...
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Idiosyncratic Downside Risk and the Credit spread Puzzle
... the risk- neutral distribution of firm value that drives bond prices and it follows that idiosyncratic risk is just as important as systematic ...the risk-neutral distribution of firm ...
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Idiosyncratic risk and the cost of capital - The case of electricity networks
... of idiosyncratic risks related to uncertainty regarding the unforeseeable, stochastic failure of its production ...this risk will depend on the firm’s network ...lower risk exposure than smaller ...
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Entrepreneurial finance with equity-for-guarantee swap and idiosyncratic risk
... Our numerical simulations are based on the following annualized base- line parameter values: interest rate r = 3%, expected growth rate µ y = 4%, the Sharpe ratio of market η = 0.4, asset recovery rate α = 0.6. The en- ...
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Entrepreneurial Finance with Equity-for-Guarantee Swap and Idiosyncratic Risk
... Our numerical simulations are based on the following annualized base- line parameter values: interest rate r = 3%, expected growth rate µ y = 4%, the Sharpe ratio of market η = 0.4, asset recovery rate α = 0.6. The en- ...
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Pricing of Idiosyncratic Risk in an Intermediary Asset Pricing Model
... However, they are smaller in magnitude than in the case of whole sample. 5. Conclusion Idiosyncratic risk premia is a puzzle in empirical asset pricing research. Standard asset pricing theories suggest that ...
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Firm transparency and idiosyncratic risk
... idiosyncratic risk. The empirical results indicate that the idiosyncratic risk reduces as a firm discloses more related financial and non-financial ...and idiosyncratic risk, ...
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Idiosyncratic risk and financial policy
... uninsurable idiosyncratic risk, competitive equilibrium allocations are, indeed, generically constrained suboptimal: reallocations of assets support Pareto superior ...of risk that is of most ...
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Effects of Liquidity on Idiosyncratic Risk
... - Risk Relationship4 EMPIRICAL RESULTS AND ANALYSIS adaptive than the smoother slope of the OLS moving average ...- Risk Relationship In order to determine if there is actually a relationship between ...
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Investment, Idiosyncratic Risk, and Ownership
... firm-specific risk induces a wedge between manager and shareholder valuations of investment opportunities and may lead to under-investment from the perspective of well-diversified ...mitigating risk-averse ...
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Idiosyncratic risk assessment in the mortgage market
... Chapter 1 Introduction Mortgages are complex contracts committing the parties involved to a long-term trans- action agreement, and financing a good with both consumption and investment charac- teristics. Property ...
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The idiosyncratic risk in Chinese stock market
... the idiosyncratic volatility in the largest manufacturing industry not only accounts for the largest proportion in the aggregate firm volatility but also is the lead indicator for the idiosyncratic ...
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Costly arbitrage and the myth of idiosyncratic risk $
... of idiosyncratic risk has crept into the more general costly arbitrage ...of idiosyncratic risk as an arbitrage cost, claim that idiosyncratic is relevant because, ‘‘First, as a ...
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