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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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Is idiosyncratic risk conditionally priced?
Mehra, Rajnish; Wahal, Sunil; Xie, Daruo - In: Quantitative Economics 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/10013189759
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Risk components in UK cross-sectional equities: evidence of regimes and overstated parametric estimates
Rossi, Francesco - Volkswirtschaftliche Fakultät, … - 2011
We study the behavior and interaction of systematic and idiosyncratic components of risk in a cross-section of U ….K. stocks. We find no clear evidence of a trend in any component of total risk, but we document different “regimes” in the … behavior of each component of total risk, in their correlation patterns and thus in their contribution to aggregate risk …
Persistent link: https://www.econbiz.de/10011261127
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Asset Pricing with Idiosyncratic Risk and Overlapping Generations
Storesletten, Kjetil; Telmer, Chris; Yaron, Amir - In: Review of Economic Dynamics 10 (2007) 4, pp. 519-548
What is the effect of non-tradeable idiosyncratic risk on asset-market risk premiums? Constantinides and Duffie (1996 …) and Mankiw (1986) have shown that risk premiums will increase if the idiosyncratic shocks become more volatile during … idiosyncratic risk to account for the observed Sharpe ratio on U.S. equity. While the Constantinides-Duffie model can account for …
Persistent link: https://www.econbiz.de/10005069689
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Ambiguity, Information Quality and Asset Pricing
Epstein, Larry; Schneider, Martin - University of Rochester - Center for Economic Research … - 2004
returns, increase price volatility and induce ambiguity premia that depend on idiosyncratic risk in fundamentals. Moreover …
Persistent link: https://www.econbiz.de/10005504015
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Ambiguity, Information Quality and Asset Pricing
Epstein, Larry; Schneider, Martin - University of Rochester - Center for Economic Research … - 2005
induce ambiguity premia that depend on idiosyncratic risk in fundamentals. Moreover, shocks to information quality can have …
Persistent link: https://www.econbiz.de/10005504043