کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5083947 | 1477821 | 2012 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Asset pricing with idiosyncratic risk: The Spanish case
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
Idiosyncratic risk has been the subject of a great deal of international financial research. However, one question remains unsolved thus far: how to introduce it in asset pricing models. The aim of this paper is two-fold. Firstly, we propose and compare two alternative implications of idiosyncratic risk in asset pricing: (i) as a friction or (ii) as a source of another kind of systematic risk un-captured by beta coefficient. Secondly, we improve the international empirical evidence with an in-depth analysis of the Spanish stock market over the period 1987-2007. Our findings have important implications for portfolio and risk management.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Economics & Finance - Volume 21, Issue 1, January 2012, Pages 261-271
Journal: International Review of Economics & Finance - Volume 21, Issue 1, January 2012, Pages 261-271
نویسندگان
José Luis Miralles-Marcelo, MarÃa del Mar Miralles-Quirós, José Luis Miralles-Quirós,