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 44 for “"idiosyncratic risk"”.
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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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An Empirical Investigation of Portfolios with Little Idiosyncratic Risk
… The first approach is to measure the rate of risk reduction as diversification increases. For the first approach, I identify two kinds of risks: (1) risk that portfolio returns vary across time (Evans and Archer (1968), and Campbell et al. (2001)); and (2) risk that returns vary across …
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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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Essays in financial economics
… pricing properties of investment in innovation. Risk is a key characteristic that links the two together. Both empirically and in my theory innovation activity is associated with elevated levels of idiosyncratic risk. In the model, idiosyncratic risk is driven by uncertain productivity …
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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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Equity Style Indices and Liquidity in Europe
… of European style indices is outlined from which risk factors like market excess return, size, valuation and momentum, but also novel idiosyncratic risk and systematic liquidity factors are derived. The daily 2002 to 2009 time period examined contains the recent financial crisis. As based on a …
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The Effects of Mergers and Acquisitions on Bank Risks
… of bank mergers on acquiring banks' default risk and on their contributions to systemic risk using an international merger sample, covering the period between 1998 and 2015. Furthermore, it investigates whether the changes in acquirers’ default risk after acquisitions have impacts on banking …
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Three essays on mispricing and market efficiency
… investigates the effect of price inefficiency on idiosyncratic risk and stock returns. I finds that price inefficiency in individual stocks contributes to expected idiosyncratic volatility. If idiosyncratic risk is priced, greater price inefficiency could be associated with higher expected …
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Four essays in financial economics
… but related works. The first is on optimal risk sharing and CEO compensation. Using a principal agent model, I addressed theoretically the optimal tradeoff between the inefficient risk sharing and a high incentive, to conclude that the optimal CEO pay performance level should be negatively …
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Essays on index premia and demand curves for stocks
… we find that the index premium is related to the idiosyncratic risk and market equity of a firm with economic and statistical significance. Third, we introduce a new concept that we label the index turnover cost, which represents a cost borne by index funds due to the index premium. We illustrate …
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Essays on dynamic macroeconomics
… is hump-shaped as a function of the level of idiosyncratic risk. At empirically relevant levels of idiosyncratic risk, a much less generous system than in the economy without uncertainty emerges. Furthermore, the welfare costs of deviating from the optimal level are substantial, and …
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Essays on finance and macroeconomics
… quality" event with low interest rates and high risk-premia. Uncertainty shocks create an endogenous hedging motive that induces financial intermediaries to take on a disproportionate fraction of aggregate risk, even when contracts can be written on the aggregate state of the economy. Finally, I …
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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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Does the Nature of the Crisis Matter? A Study of Global Bank Performance during a Credit Crisis, The Debt Crisis &; Health Crisis
… respectively. Higher liquidity, loans, beta, and idiosyncratic volatility as well as a lower credit-loss ratio explained the poor performance of banks during the GFC. The negative spillover effects from the GFC significantly hindered banks' lending capacity and ability to obtain funding from the …
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Three Essays on Market Efficiency and Limits to Arbitrage
… of three essays. The first essay focuses on idiosyncratic volatility as a primary arbitrage cost for short sellers. Previous studies document (i) negative abnormal returns for high relative short interest (RSI) stocks, and (ii) positive abnormal returns for low RSI stocks. We examine whether …
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REIT-based pure-play portfolios : the case of property types and geographic locations
… exposure to other sectors while minimizing the idiosyncratic risk component of the portfolio. This thesis constructed pure-play portfolios across four property types and four geographic locations using seven years of structural information on publicly traded REITs. For comparison with the …
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Essays on international finance and economics
… a motive for holding dollar assets when the risk of recession is the main source of volatility in consumption. The model predicts persistence in the degree of "dollarization" in economies with low inflationary risk. The second essay looks at how the government's lack of commitment technology …
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Three Essays on Firm Value and Firm Risk and their Relation to IT-Exposure, Corporate Social Responsibility, and Religiosity
… endogeneity. 2. Corporate Social Responsibility, Risk, and Firm Value: An Unconditional Quantile Regression Approach: This paper examines the impact of corporate social responsibility (CSR) on firm risk, comprising total risk, idiosyncratic risk, and systematic risk, as well as firm value. We …
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Risk-Return Tradeoffs and Managerial incentives
Moral hazard theory posits that managerial risk aversion imposes agency costs on shareholders, and firms respond by providing risk-taking incentives to mitigate these costs. The underlying assumption in this literature is that increasing shareholder value requires increasing risk, yet there is …
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Essays on dynamic agency, inequality and optimal taxation
… and are exposed to a high degree of idiosyncratic risk. This thesis explores the extent to which these facts together suggest imperfect risk-sharing remediable through government policy, by characterizing efficient allocations and long-run inequality in two dynamic economies that …
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