Whereas, lower SPS interprets that the value of R-squared is lower, which reflects more idiosyncratic return volatility and less market wide information (Morck et al.
Wei and Zhang (2006) explain the possible causes for increased idiosyncratic return volatility overtime in the U.
West (1988) presents a theoretical model, which says that firm specific return variations are more linked with noise in returns than with information of firm specific variable and reports that idiosyncratic return volatility is positively related to bubbles, fad and other non-fundamental variables.
Firms should consider active strategies that seek to protect downside risk and focus on idiosyncratic return
streams within client portfolios, Mercer suggests.
i,t] is the idiosyncratic return of stock i at time t.
i] is the idiosyncratic return of firm i, and it is not related to any risk source.
In addition, as in Waller, Verdier, and Gardner (2002), these firms receive an idiosyncratic return [epsilon] on investment, which is distributed uniformly over the unit interval, that is, [epsilon] ~ U[0,1].
2] [greater than or equal to] [(1 - m) V + [(1 - [alpha]) V] or, if its idiosyncratic return to locating in the formal sector satisfies
The idiosyncratic returns of each fund are measured using prior year monthly returns and a four-factor model.
I find a positive relationship between the Overlapping Rate and the Correlation of Idiosyncratic Returns in Column (3) when the average manager overlap rate is not included in the specification.
8%) Lagged Equity Returns Idiosyncratic Returns
Coefficient Count Signif.
The evidence of Fama and French (2004) is consistent with the explanation that changes in the idiosyncratic returns
volatility could be, in part, due to trends in the entry and exit of firms into the markets.