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 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.
The Overlapping Rate is treated as endogenous when the dependent variable is the Correlation of Idiosyncratic Returns.
Correlation of For each fund in year t, the idiosyncratic returns Idiosyncratic are estimated by using a rolling 12-month window Returns and a four-factor model.
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.