Format:
Online-Ressource (33 p)
Edition:
Online-Ausg.
ISBN:
1451856806
,
9781451856804
Series Statement:
IMF Working Papers Working Paper No. 99/148
Content:
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
Additional Edition:
Erscheint auch als Druck-Ausgabe Richards, Anthony Idiosyncratic Risk: An Empirical Analysis, with Implications for the Risk of Relative-Value Trading Strategies Washington, D.C. : International Monetary Fund, 1999 ISBN 9781451856804
Language:
English
DOI:
10.5089/9781451856804.001
URL:
Volltext
(IMF e-Library)
