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Groups, pricing, and cost of debt : evidence from Turkey
Küllü, A. Melih; Raymar, Steven B. - In: Journal of risk and financial management : JRFM 11 (2018) 1, pp. 1-31
The paper examines the impact of business group affiliation on cost of loans in an emerging market setting. It focuses on operational strategy, organizational structure and internationalization policies of business group firms and their impact on borrowing cost of affiliated firms. Bank loans...
Persistent link: https://www.econbiz.de/10011855158
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A new measure for idiosyncratic risk based on decomposition method
Lee, Meng-Horng; Hooy, Chee Wooi; Brooks, Robert - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-8
This paper introduces an alternate measure of idiosyncratic risk leveraged from the decomposition method to further … eliminate the residual systematic risk inherent in the factor asset pricing model. Combining both complementary techniques … contributes to a more comprehensive firm-level idiosyncratic risk that is crucial in both portfolio diversification and alpha …
Persistent link: https://www.econbiz.de/10014289732
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Systematic and idiosyncratic risks of the U.S. Airline industry
Bhuyan, Rafiqul; Mollick, André Varella; Amin, Md. Ruhul - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-13
angles. Although the systematic risk of the airline industry has been examined before, idiosyncratic risk has largely been …
Persistent link: https://www.econbiz.de/10013380405
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Time-varying risk and the relation between idiosyncratic risk and stock return
Fu, Chengbo - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-16
This paper studies the historical time-varying dynamics of risk for individual stocks in the U.S. market. Total risk of … an individual stock is decomposed into two components, systematic risk and idiosyncratic risk, and both components are … studied separately. We start from the historical trend in the magnitude of risk and then turn to the relation between …
Persistent link: https://www.econbiz.de/10012628441
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The relationship between governance quality and the cost of equity capital in Italian listed firms : an update
Bertoncelli, Francesca; Fandella, Paola; Sironi, Emiliano - In: Journal of risk and financial management : JRFM 14 (2021) 3, pp. 1-16
This paper investigates the relationship between corporate governance quality and the cost of equity capital, intended as the discount rate the market applies to a firm’s expected future cash flows to evaluate the current share price. Using data from the Italian listed corporations in 2018,...
Persistent link: https://www.econbiz.de/10012520050
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Whose policy uncertainty matters in the trade between Korea and the U.S.?
Bahmani-Oskooee, Mohsen; Baek, Jungho - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-23
-digit U.S. exporting industries to Korea and 49 2-digit Korean exporting industries to the U.S. to policy uncertainty … measures of the U.S. and Korea. We find that both measures have short-run effects on exports of almost one-third of industries …
Persistent link: https://www.econbiz.de/10012795034
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Spreads and volatility in house returns
Chinloy, Peter; Jiang, Cheng; John, Kose - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-16
Underlying idiosyncratic and illiquidity risks are suppressed in infrequently reported indexes of house prices and rents. Idiosyncratic risks result from bid-ask spreads for prices and rents. Time series autocovariances generate a distribution of prices and rents. Capital gains and rent-price...
Persistent link: https://www.econbiz.de/10013382201
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Idiosyncratic risk volatility : stock price informativeness or price error?
Widianingsih, Yuni Pristiwati Noer; Doddy Setiawan - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-14
. This study aims to analyze the phenomenon of idiosyncratic risk in Indonesia, whether it is related to price … liquidity levels and stock liquidity risk. Our research revealed the relationship between information asymmetry in the … stock liquidity, liquidity risk, and information asymmetry. The findings of this study are expected to contribute to the …
Persistent link: https://www.econbiz.de/10013471004
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How many stocks are sufficient for equity portfolio diversification? : a review of the literature
Zaimovic, Azra; Omanovic, Adna; Arnaut-Berilo, Almira - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-30
diversification is not an easy task as it is impacted by a huge number of different factors: the way systematic risk is measured, the …
Persistent link: https://www.econbiz.de/10012795951
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Is investors' psychology affected due to a potential unexpected environmental disaster?
Halkos, George E.; Zisiadou, Argyro - In: Journal of risk and financial management : JRFM 13 (2020) 7/151, pp. 1-24
The purpose of this paper is to approach the way investors perceive the risk associated with unexpected environmental … description of the events included in the sample, we estimate the systematic risk of assets connected to these events. The goal is … to capture possible abnormalities as well as to observe investors'; psychology of risk after the occurrence of an …
Persistent link: https://www.econbiz.de/10012309342