Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 484 for “"idiosyncratic"”.
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Are Idiosyncratic Skewness and Idiosyncratic Kurtosis Priced?
This thesis investigates the pricing effects of idiosyncratic moments. We document that idiosyncratic moments, namely idiosyncratic skewness and idiosyncratic kurtosis vary over time. If a factor/characteristic is priced, it must show minimum variation to be correlated with stock returns. Moreover, …
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Are Idiosyncratic Skewness and Idiosyncratic Kurtosis Priced?
This thesis investigates the pricing effects of idiosyncratic moments. We document that idiosyncratic moments, namely idiosyncratic skewness and idiosyncratic kurtosis vary over time. If a factor/characteristic is priced, it must show minimum variation to be correlated with stock returns. Moreover, …
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Cyclical dynamics in idiosyncratic consumption risk
This paper examines cyclical dynamics of idiosyncratic consumption risk using consumption data from the Nielsen Consumer Panel and the Panel Study of Dynamic Income. With GMM estimates and supplemental graphical analysis, I show that the idiosyncratic risk in consumption is i) highly persistent, …
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New Factor Structure Models and Idiosyncratic Volatility
… around the industry groups and the exchanges. Idiosyncratic volatility calculated using the new factor structure models tend to be smaller than those calculated using the traditional Fama-French model. By sorting portfolios using the idiosyncratic volatility computed using the new factor …
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Idiosyncratic risk in US commercial real estate
… residual of the regression model and represents idiosyncratic risk which is different from the market risk as represented by the aggregate index. Idiosyncratic risk can be quite important for real estate investors. In the absence of derivative contracts for synthetic investment, no one can invest …
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Measuring Family Business Performance: A Holistic, Idiosyncratic Approach
… approaches fail to acknowledge that goals are idiosyncratic to each family business. The purpose of this research was to begin the process of developing a performance measurement scale that is holistic – including the entire set of family business goals, both financial and non-financial – and …
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An Empirical Investigation of Portfolios with Little Idiosyncratic Risk
The objective of this study is to answer the following research question: How large is a diversified portfolio? Although previous work is abundant, very little progress has been made in answering this question since the seminal work of Evans and Archer (1968). This study proposes two approaches to …
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On the Analysis of Firm Value and Idiosyncratic Volatility
… valuation of the underpricing in IPOs and the idiosyncratic volatility of public firms. In Chapter 1, I briefly introduce three topics studied in my dissertation. In addition, I summarized the stochastic frontier model which is employed in the study of valuation of agency cost and the …
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The effect of idiosyncratic and macroeconomic risk on cash holdings
… of corporate cash holdings to changes in idiosyncratic and macroeconomic risk. The analysis is carried out for a panel of South African non-financial firms from 1980 to 2019. Employing the two-step system Generalised Methods of Moments (GMM), results show that South African firms become …
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What Happens While We Learn? The Idiosyncratic Nature of Learning from Experience
… of their interactions. Learners demonstrate idiosyncratic differences in how they interpret and respond to the environment. This includes how quickly and effectively they recognize problems or opportunities while learning, establish goals to guide their pursuit, and construct and leverage new …
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The impact of time-varying idiosyncratic risk and trading costs on momentum and value strategies
… research has discussed the possible role of idiosyncratic risk in explaining equity returns. Simultaneously, but somehow independently, numerous other studies have documented the failure ofthe static and conditional capital asset pricing models to explain momentum profits and the value …
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Development and analysis of an in vitro model of inflammatory cytokine-mediated idiosyncratic drug hepatotoxicity
Idiosyncratic drug reactions are a subset of adverse reactions frequently targeting the liver, which become obvious only in large sample populations. Drug-induced hepatotoxicity, occurring in a very small fraction of patients, poses a major challenge to pharmaceutical companies due to its unknown …
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Two Essays in Finance: The Consequences of Mandated Compensation Disclosure, and The Idiosyncratic Volatility Puzzle
… second essay of my dissertation focuses on the idiosyncratic volatility puzzle - the negative relation between estimated idiosyncratic volatility and the subsequent month returns documented by Ang et al (2006). We document a systematic pattern of temporary increases in the estimated …
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INTOLERANCE OF UNCERTAINTY FOR IDIOSYNCRATIC CONCERNS IN ANALOGUE GENERALIZED ANXIETY DISORDER, OBSESSIVE COMPULSIVE DISORDER, AND NORMAL CONTROLS
The overall goal of the present study was to demonstrate that intolerance of uncertainty (IU) is a key feature in both generalized anxiety disorder (GAD) and obsessive-compulsive disorder (OCD). More specifically, I wanted to test certain portions of the conceptual models proposed for the study …
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Supervisor and Subordinate Perceptions of Leader-Member Exchange: Examining Idiosyncratic Deals and Work-Family Experiences in a Moderated Mediation Model
… by examining the relationship between LMX and idiosyncratic deals (i-deals) along with resultant work-family experiences. Drawing from social exchange (Blau, 1964), role (Kahn, Wolfe, Quinn, Snoek, & Rosenthal, 1964), and job characteristics (Hackman & Oldham, 1980; Humphrey, Nahrgang, & …
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Idiosyncratic Income Shocks, Access to Credit, and Households' Welfare in an Agrarian Economy: Micro -Econometric Studies on Rural Households in Bangladesh
The final analytical chapter tests the theories, which purport to explain the continued use of traditional rice varieties some thirty years after the introduction of High Yielding Varieties (HYV). Commonly used theories to explain this observed behavior of farm households are portfolio selection, …
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The Common, the Contradictory and the Idiosyncratic: Signposts from a Qualitative Exploration into the Structural Factors Influencing Scientific Work in Tsukuba, Japan [1997-2002]
… in this study reveal common, contradictory and idiosyncratic aspects that have important cultural and scientific/economic effects across organizational types. Common attributes include the observation of universal “top-down” organizational hierarchies with networks of labor being accumulated …
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Essays in corporate finance and investments
… liability side and studies the puzzle of whether idiosyncratic risk predicts the cross-section of stock returns and the direction of the prediction. This chapter examines this relationship by extracting implied idiosyncratic variances from option prices and decomposing past realized idiosyncratic …
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Essays in financial economics
… activity is associated with elevated levels of idiosyncratic risk. In the model, idiosyncratic risk is driven by uncertain productivity improvements and disruption that emerge in the process of innovation. Thus idiosyncratic risk is an instrumental determinant of the rate of technological …
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DEAL OR NO DEAL: REDUCING PRODUCTION DEVIANCE
… moderated by individual differences in levels of idiosyncratic deals negotiated with the supervisor. Specifically, I argue that high levels of idiosyncratic deals can mitigate the effects of low leader ICB on emotional exhaustion and production deviance. In contrast, workers reporting low leader …
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