Specific Return

(redirected from Idiosyncratic Returns)

Specific Return

The part of the excess return not explained by common factors. The specific return is independent of (uncorrelated with) the common factors and the specific returns to other assets. It is also called the idiosyncratic return.

Specific Return

The return on an asset or investment over and above the expected return that cannot be explained by common factors. That is, the specific return is the return coming from the asset or investment's own merits, rather than the merits common to other, similar assets or investments. It is also called the idiosyncratic return.
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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.