Hidden Bibliographic Details
| Other authors / contributors: | International Monetary Fund. Research Department.
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| ISBN: | 9781451901894
1451901895
1462322646
9781462322640
1452754241
9781452754246
1282107046
9781282107045
9786613800398
6613800392
9781451856804
1451856806
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| Notes: | Includes bibliographical references (pages 32-33).
Restrictions unspecified
Electronic reproduction. [Place of publication not identified] : HathiTrust Digital Library, 2010.
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212
English.
digitized 2010 HathiTrust Digital Library committed to preserve
Print version record.
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| Summary: | Annotation 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.
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| Other form: | Print version: Richards, Anthony J. (Anthony John), 1962- Idiosyncratic risk. [Washington, D.C.] : International Monetary Fund, Research Depertment, ©1999
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| Standard no.: | 10.5089/9781451901894.001
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