This paper analyses the properties of idiosyncratic risk in the Greek Stock Market by disaggregating the total volatility of stocks at market, industry, and firm level. Idiosyncratic risk is much larger and represents a smaller component of total volatility in Greece compared with other...

In this study, the properties and portfolio management implications of the value-weighted idiosyncratic volatility in 24 emerging markets are examined. The paper provides evidence against the view that the rise of idiosyncratic risk is a global phenomenon. Furthermore, specific and market risks...

In the light of recent evidence that liquidity and idiosyncratic risk may be priced factors in the cross section of expected stock returns and that market capitalization significantly affects investor behavior and liquidity, we explore the interactions between liquidity, idiosyncratic risk and...

This paper considers the task of forming a portfolio of assets that outperforms a benchmark index, while imposing a constraint on the tracking error volatility. We examine three alternative formulations of active portfolio management. The first one is a typical set up in which the fund manager...

We evaluate the performance of an extensive family of ARCH models in modelling daily Value-at-Risk (VaR) of perfectly diversified portfolios in five stock indices, using a number of distributional assumptions and sample sizes. We find, first, that leptokurtic distributions are able to produce...