Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5083947 | International Review of Economics & Finance | 2012 | 11 Pages |
Abstract
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.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
José Luis Miralles-Marcelo, MarÃa del Mar Miralles-Quirós, José Luis Miralles-Quirós,