Download or read book Idiosyncratic Risk in Emerging Markets written by Timotheos Angelidis and published by . This book was released on 2010 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this study, the properties and portfolio management implications of the value- weighted idiosyncratic volatility in 24 emerging markets are examined. The paper provides evidence against the view that the rise of idiosyncratic risk is a global phenomenon. Furthermore, specific and market risks jointly predict market returns as there is a negative (positive) relation between idiosyncratic (market) risk and subsequent stock returns. Idiosyncratic volatility is the most important component of tracking error volatility and it does not exhibit either an upward or a downward trend. Thus, investors do not have to increase, on an average, the number of stocks that they hold, to keep the active risk constant.
Download or read book Idiosyncratic Risk in Emerging Markets and Topics in Real Estate written by Biqing Huang and published by . This book was released on 2009 with total page 178 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Risk and Return in Asian Emerging Markets written by N. Cakici and published by Springer. This book was released on 2014-08-13 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt: Risk and Return in Asian Emerging Markets offers readers a firm insight into the risk and return characteristics of leading Asian emerging market participants by comparing and contrasting behavioral model variables with predictive forecasting methods.
Download or read book Idiosyncratic Shocks and Aggregate Fluctuations in an Emerging Market written by Mr. Francesco Grigoli and published by International Monetary Fund. This book was released on 2021-12-10 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides the first assessment of the contribution of idiosyncratic shocks to aggregate fluctuations in an emerging market using confidential data on the universe of Chilean firms. We find that idiosyncratic shocks account for more than 40 percent of the volatility of aggregate sales. Although quite large, this contribution is smaller than documented in previous studies based on advanced economies, despite a higher degree of market concentration in Chile.We show that this finding is explained by larger firms being less volatile and by weaker propagation effects across Chilean firms.
Download or read book Idiosyncratic Volatility Momentum Liquidity and Expected Stock Returns in Developed and Emerging Markets written by Lorne N. Switzer and published by . This book was released on 2015 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper re-examines the link between idiosyncratic risk and expected returns for a large sample of firms in both developed and emerging markets. Recent studies using Fama-French three-factor models have shown a negative relationship between idiosyncratic volatility and expected returns for developed markets. This relationship has not been studied to date for emerging markets. This study relates the current-month's idiosyncratic volatility to the subsequent month's stock returns for a sample of both developed and emerging markets expanding benchmark factors by including both a momentum and a systematic liquidity risk component. Using a five-factor model, the results suggest that idiosyncratic risk does not play a role on stock returns for most of the developed markets analyzed. In contrast, the paper shows, for the first time, that idiosyncratic risk is positively related to month-ahead expected returns for many emerging markets for this model.
Download or read book Does Idiosyncratic Volatility Matter in Emerging Markets Evidence From China written by Gilbert Nartea and published by . This book was released on 2013 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the time series behavior of idiosyncratic volatility and its role in asset pricing in China. We find no evidence of a long-term trend in the time series behavior of idiosyncratic volatility. Idiosyncratic volatility in China is best characterized by an autoregressive process with regime shifts that coincide with structural market reforms. We also document evidence of a negative idiosyncratic volatility effect in China with anecdotal evidence suggesting that it could be driven by investor preference for high idiosyncratic volatility stocks.
Download or read book On Market Timing and Investment Performance Part II Statistical Procedures for Evaluating Forecasting Skills written by Roy Henriksson and published by . This book was released on 2023-07-18 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Idiosyncratic Risk written by Mr.Anthony J. Richards and published by International Monetary Fund. This book was released on 1999-11-01 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper models the idiosyncratic or asset-specific return of an asset as the return on a portfolio that is long in that asset and short in other assets in the same class, thereby removing the common components of returns. This is the type of “hedged” position that is held by relative-value investors. Weekly returns data for seven different asset classes suggest that idiosyncratic risk is: higher at times of large return outcomes for the asset class as a whole; positively autocorrelated; and correlated across different asset classes. The implications for risk management are discussed.
Download or read book Expected Returns and Idiosyncratic Risk written by Jyri Kinnunen and published by . This book was released on 2015 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Idiosyncratic Risk in Emerging Market written by Marselinus Asri and published by . This book was released on 2017 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of research is to investigate the accrual principles in Accounting that contained in the Company's Financial Statements. The accrual principle is reflected in the Balance Sheet and Income Statement. Accrual measurements in the Balance Sheet are measured using PersistenceCurrent Operating Accrual, Persistence NonCurrent Operating Accrual. Idiosyncratic risk reflects the specific information about the company and it will fluctuate according to the information itself.To measure the idiosyncratic risk in this study five factors of Fama-French Model were used (Fama and French 2014). Asset Pricing Measurement uses the Dividend Disscounted Model to predict stock prices.The samples used in this study are listed below. The Manufacturing Company is selected with consideration for accrual measurement of accounts receivable, inventory, investment and liabilities. The sample was chosen by purposive random sampling method. The number of samples generated by this method is 145 companies with full reports for 2010-2015.Using the SEM AMOS Ver.24 and Sobel Test Path Analysis, the results show that Current Operating Accrual has a negative and significant relationship to the idiosyncratic risk and stock price. For non-Current Operating Accrual variables have positive and significant relation. By using Sobel Test, the test result shows that idiosyncratic risk has mediation effect in Persistence Current Operating Accrual, NonCurrent Operating Accrual relationship to stock price.
Download or read book Emerging Markets in an Upside Down World written by Jerome Booth and published by John Wiley & Sons. This book was released on 2014-06-03 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: The world is upside down. The emerging market countries are more important than many investors realise. They have been catching up with the West over the past few decades. Greater market freedom has spread since the end of the Cold War, and with it institutional changes which have further assisted emerging economies in becoming more productive, flexible, and resilient. The Western financial crisis from 2008 has quickened the pace of the relative rise of emerging markets - their relative economic power, and with it political power, but also their financial power as savers, investors and creditors. Emerging Markets in an Upside Down World - Challenging Perceptions in Asset Allocation and Investment argues that finance theory has misunderstood risk and that this has led to poor investment decisions; and that emerging markets constitute a good example of why traditional finance theory is faulty. The book accurately describes the complex and changing global environment currently facing the investor and asset allocator. It raises many questions often bypassed because of the use of simplifying assumptions and models. The narrative builds towards a checklist of issues and questions for the asset allocator and investor and then to a discussion of a variety of regulatory and policy issues. Aimed at institutional and retail investors as well as economics, finance, business and international relations students, Emerging Markets in an Upside Down World covers many complex ideas, but is written to be accessible to the non-expert.
Download or read book Equity Anomalies and Idiosyncratic Risk Around the World written by Steven Fan and published by . This book was released on 2015 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this study, we examine how idiosyncratic risk is correlated with a wide array of anomalies, including asset growth, book-to-market, investment-to-assets, momentum, net stock issues, size, and total accruals, in international equity markets. We use zero-cost trading strategy and multifactor models to show that these anomalies produce significant abnormal returns. The abnormal returns vary dramatically among different countries and between developed and emerging countries. We provide strong evidence to support the limits of arbitrage theory across countries by documenting a positive correlation between idiosyncratic risk and abnormal return. It suggests that the existence of these well-known anomalies is due to idiosyncratic risk. In addition, we find that idiosyncratic risk has less impact on abnormal return in developed countries than emerging countries. Our results support the mispricing explanation of the existence of various anomalies across global markets.
Download or read book Commonality in Liquidity in Emerging Markets written by Min Bai and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Emerging markets share many distinct features that separate them from more developed markets, including low liquidity and high commonality in liquidity. This study on 18 emerging markets finds that individual stock liquidity is more affected by systematic volatility than by idiosyncratic volatility, suggesting that higher commonality in liquidity in emerging markets could be caused by higher co-variation in stock volatility and co-variation in inventory risk. Consistent with this conjecture, commonality in liquidity is found to be positively related to co-movement in volatility, and negatively related to the level of development of the financial markets. This study also documents that liquidity co-movement across emerging markets has a strong geographic component and is related to a correlation in market-wide volatility. The results do not support the presence of a global liquidity factor, and suggest that liquidity risk can be diversified by constructing global portfolios.
Download or read book Winning in Emerging Markets written by Tarun Khanna and published by Harvard Business Press. This book was released on 2010-04-28 with total page 261 pages. Available in PDF, EPUB and Kindle. Book excerpt: The best way to select emerging markets to exploit is to evaluate their size or growth potential, right? Not according to Krishna Palepu and Tarun Khanna. In Winning in Emerging Markets, these leading scholars on the subject present a decidedly different framework for making this crucial choice. The authors argue that the primary exploitable characteristic of emerging markets is the lack of institutions (credit-card systems, intellectual-property adjudication, data research firms) that facilitate efficient business operations. While such "institutional voids" present challenges, they also provide major opportunities-for multinationals and local contenders. Palepu and Khanna provide a playbook for assessing emerging markets' potential and for crafting strategies for succeeding in those markets. They explain how to: · Spot institutional voids in developing economies, including in product, labor, and capital markets, as well as social and political systems · Identify opportunities to fill those voids; for example, by building or improving market institutions yourself · Exploit those opportunities through a rigorous five-phase process, including studying the market over time and acquiring new capabilities Packed with vivid examples and practical toolkits, Winning in Emerging Markets is a crucial resource for any company seeking to define and execute business strategy in developing economies.
Download or read book Investment Strategies in Emerging New Trends in Finance written by Reza Gharoie Ahangar and published by BoD – Books on Demand. This book was released on 2021-04-14 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investment and portfolio strategies are some of the most exciting topics in finance. This book presents the most up-to-date topics and techniques in finance to facilitate the investment process for researchers and investors in selecting appropriate investment strategies with the emergence of new issues and concepts in financial areas. This book contains nine chapters divided into three sections: The first section, “Investment and Portfolio Strategies,” discusses different investment strategies in portfolio selection. The second section, “Behavioral Finance and Investment Decisions,” examines the application of behavioral finance in investment decisions. The last section, “Emerging New Trends in Finance,” includes some new and interesting finance topics that can depict our vision for the future arena of finance.
Download or read book Getting Started in Emerging Markets written by Christopher Poillon and published by Wiley. This book was released on 2000-12-25 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: How every investor can seize the huge potential of overseas emerging markets This book offers a clear roadmap to navigating emerging markets. In clear terms every investor can understand, it explains what an emerging market is, why investors should invest in them, and what the risks are in particular markets, including Latin America, East Asia, and China. The book offers a systematic process that can be easily followed for successful investing in emerging markets.
Download or read book Risk Management in Emerging Markets written by Sima Motamen-Samadian and published by . This book was released on 2005 with total page 167 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a thorough analysis of risk management in emerging markets. Each chapter assesses the extent to which investors might be affected by specific risks of emerging markets, and they can manage them. The studies cover a range of different countries, including India, Pakistan, Poland and Morocco, as well as sixteen other emerging and developed markets that might be included in portfolio of global assets. The authors highlight the risk associated with each market and identify the most appropriate model specifications that should be used in managing risks in those markets. The empirical studies provide interesting results that have important implication for pricing of securities and the strategies that should be adopted by investors. The book will be extremely useful for all those who are working on risk management in emerging economies, in particular fund managers, researchers in universities and financial institutions, as well as regulatory and supervisory authorities in emerging markets.
