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Is idiosyncratic risk ignored in asset pricing: Sri Lankan evidence?
Maiti, Moinak - In: Future Business Journal 5 (2019) 5, pp. 1-12
and idiosyncratic risk yields better than Fama and French's (J Financ Econ 33:3-56, 1993) three-factor model and … is a high importance for idiosyncratic volatility risk factor while considering investment decision in Colombo stock … exchange. Hence, investor should compensate for holding such risk factors in the portfolio. …
Persistent link: https://www.econbiz.de/10012137461
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Is idiosyncratic risk conditionally priced?
Mehra, Rajnish; Wahal, Sunil; Xie, Daruo - In: Quantitative economics : QE ; journal of the … 12 (2021) 2, pp. 625-646
In Merton (1987), idiosyncratic risk is priced in equilibrium as a consequence of incomplete diversification. We modify … results in a state-dependent idiosyncratic risk premium that is higher when average idiosyncratic volatility is low, and vice … versa. The data appear to be consistent a positive state-dependent premium for idiosyncratic risk both in the US and other …
Persistent link: https://www.econbiz.de/10012598449
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Role of human assets in measuring firm performance and its implication for firm valuation
Maiti, Moinak; Vuković, Darko - In: Journal of Economic Structures 9 (2020) 47, pp. 1-27
The purpose of the study is to evaluate the role of human asset in firm performance and its implication for firm valuation. To do so a modified five-factor model with human asset designed for capturing the size, value, profitability and investment in average portfolio returns that performs...
Persistent link: https://www.econbiz.de/10013288324
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Role of human assets in measuring firm performance and its implication for firm valuation
Maiti, Moinak; Vuković, Darko - In: Journal of economic structures : JES; the official … 9 (2020) 47, pp. 1-27
The purpose of the study is to evaluate the role of human asset in firm performance and its implication for firm valuation. To do so a modified five-factor model with human asset designed for capturing the size, value, profitability and investment in average portfolio returns that performs...
Persistent link: https://www.econbiz.de/10012256666
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The Greenium matters : evidence on the pricing of climate risk
Lucia, Alessi; Elisa, Ossola; Roberto, Panzica - 2019
This study provides evidence on the existence of a negative Greenium, i.e. a green risk premium, based on European … portfolio exposure to climate risk and hedge against it. We estimate that even in a rather benign scenario, there would be …
Persistent link: https://www.econbiz.de/10012053558
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Social security and the interactions between aggregate and idiosyncratic risk
Harenberg, Daniel; Ludwig, Alexander - 2014 - This version: March 20, 2014
aggregate risk. We argue that interactions between the two risks are important for this question. One is a direct interaction in … the form of a countercyclical variance of idiosyncratic income risk. The other indirectly emerges over a household's life …-cycle because retirement savings contain the history of idiosyncratic and aggregate shocks. We show that this leads to risk …
Persistent link: https://www.econbiz.de/10010359333
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Social security and the interactions between aggregate and idiosyncratic risk
Harenberg, Daniel; Ludwig, Alexander - 2014 - This Version: July 9, 2014
aggregate risk. We argue that interactions between the two risks are important for this question. One is a direct interaction in … the form of a countercyclical variance of idiosyncratic income risk. The other indirectly emerges over a household's life …-cycle because retirement savings contain the history of idiosyncratic and aggregate shocks. We show that this leads to risk …
Persistent link: https://www.econbiz.de/10010374428
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Why does idiosyncratic risk increase with market risk?
Bartram, Söhnke M.; Brown, Gregory W.; Stulz, René M. - 2016
From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive … relation has roots in fundamentals as higher market risk predicts greater idiosyncratic earnings volatility and as firm …
Persistent link: https://www.econbiz.de/10011520321
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Social security in an analytically tractable overlapping generations model with aggregate and idiosyncratic risk
Harenberg, Daniel; Ludwig, Alexander - 2014 - This Version: September 22, 2014
When markets are incomplete, social security can partially insure against idiosyncratic and aggregate risks. We incorporate both risks into an analytically tractable model with two overlapping generations and demonstrate that they interact over the life-cycle. The interactions appear even though...
Persistent link: https://www.econbiz.de/10010419846
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Pricing of idiosyncratic equity and variance risks
Gourier, Elise - 2016
This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks … 80% of the equity and variance risk premia, respectively. I provide a categorization of sectors based on the risk profile …
Persistent link: https://www.econbiz.de/10011410917