This indicates that idiosyncratic risk
is higher for SMEs.
This is a brilliant contribution as a decade of research into idiosyncratic risk
had stumbled against one after another difficulty, and had great trouble demonstrate even the possibility of substantial effects.
Emphasize the role of three features:(i) asymmetric information in interbank markets;(ii) maturity mismatch in the banks balance sheets;(iii) the paradox of securitization, thereby a deeper diversification of idiosyncratic risk
leads to a simultaneous increase in the sensitivity of banks balance sheets to aggregate risk.
Using four different proxies for a firm's investor base we demonstrate that idiosyncratic risk
premiums are larger for neglected stocks and smaller or economically insignificant for visible stocks.
2] and thus the farmer will only face the idiosyncratic risk
(compare with Equation (9b)).
This makes a CCA-approach a promising method for estimating the implied volatilities of transactions in which shareholders and lenders bear a certain amount of idiosyncratic risk
In particular, the OTC has relative advantages in hedging idiosyncratic risk
, and disadvantages in dealing with credit risk and credit risk aversion.
Specifically, we examine the level of idiosyncratic risk
for a sample of firms who have been rated on their corporate social responsibility [CSR].
H2: There exists a significant relationship between SPS and Idiosyncratic risk
In this article, we explore the possibility that aggregate idiosyncratic risk
confounds the time-series relation between aggregate liquidity and conditional equity premium.
Conversely, in what no CAPM validity is concerned, there are studies such as the one by Galdi and Securato (2007), who have analysed the relationship between the idiosyncratic risk
and the returns of a diversified portfolio of Brazilian market assets.
The investor is exposed to company-specific risk for each position in the concentrated portfolio, but what if that idiosyncratic risk
can be significantly diminished?