Idiosyncratic Volatility

Nusret Cakici and Kudret Topyan

Chapter Chapter 6 in Risk and Return in Asian Emerging Markets, 2014, pp 73-89 from Palgrave Macmillan

Abstract: Abstract The role of idiosyncratic risk in finance has been well studied in the literature, mostly with a focus on the effect of idiosyncratic risk on asset pricing. (See, for example, Kahn, 1990; Franke, Stapleton, and Subrahmanyam, 1992; Telmer, 1993; Aiyagari, 1994; Lucas, 1994; Malkiel and Xu 2006, and Heaton and Lucas, 1996)

Keywords: Stock Return; Asset Price; Abnormal Return; Idiosyncratic Risk; Market Portfolio (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-35907-0_6

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DOI: 10.1057/9781137359070_6

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