Does Idiosyncratic Risk Matter? Evidence from the Japanese Stock Market

Bing Xiao ()
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Bing Xiao: Université d’Auvergne, France

Eurasian Journal of Business and Management, 2015, vol. 3, issue 3, 12-19

Abstract: It would seem that a relationship exists between the idiosyncratic risk and stock returns, and the idiosyncratic risk exhibits a positive and statistically significant trend. The goal of this paper is to use data from Japanese markets to investigate the two issues for the 2000-2014 period and provide further evidence that adds to the existing conflicting results. Our results suggest that existence of a positive relationship between the equally weighted measure of idiosyncratic risk and subsequent stock returns, but we don’t find a rise in idiosyncratic volatility over the period.

Keywords: Idiosyncratic Risk; Stock Markets Volatility; Stocks Returns (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (1)

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