In this dissertation, I propose new factor structures that are based on the Fama-French style factors but include additional locations like the industry groups and the exchanges where the stocks are traded. I show that the stock returns are clustered 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 models, a trader can gain larger profits compared to sorting the portfolio using the traditionally calculated idiosyncratic volatility.
","abstract_html":"<p>In this dissertation, I propose new factor structures that are based on the Fama-French style factors but include additional locations like the industry groups and the exchanges where the stocks are traded. I show that the stock returns are clustered 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 models, a trader can gain larger profits compared to sorting the portfolio using the traditionally calculated idiosyncratic volatility.</p>","abstract_has_math":false,"creators":["Elhadary, Ossama"],"institution":"The Graduate School and University Center of The City University of New York","degree_name":"Doctor of Philosophy","degree_level":"Doctoral","degree_discipline":"Economics","degree_department":null,"school":null,"contributors":[],"advisors":["Liuren Wu"],"committee_chairs":[],"committee_members":["Matthew Baker","Matthew Nagler"],"year":2019,"date_issued":"2019-09-01T07:00:00Z","date_published":"2019-09-01T07:00:00Z","updated_at":"2026-07-24T01:58:22Z","subjects":["Economics","Finance","Finance and Financial Management","Idiosyncratic","Volatility","Fama","Fama French","Alpha","CAPM"],"languages":[],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"https://academicworks.cuny.edu/gc_etds/3494","outbound_label":"Repository record","outbound_source":"dc:identifier"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor.advisor","label":"Advisor","values":["Liuren Wu"]},{"key":"dc:contributor.committeemember","label":"Committee Member","values":["Matthew Baker","Matthew Nagler"]},{"key":"dc:creator","label":"Author","values":["Elhadary, Ossama"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.available","label":"Dc Date Available","values":["2021-09-30T07:00:00Z"]},{"key":"thesis:degree_discipline","label":"Discipline","values":["Economics"]},{"key":"thesis:degree_level","label":"Degree Level","values":["Doctoral"]},{"key":"thesis:degree_name","label":"Degree Name","values":["Doctor of Philosophy"]},{"key":"thesis:institution_name","label":"Thesis Institution Name","values":["The Graduate School and University Center of The City University of New York"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["Economics","Finance","Finance and Financial Management","Idiosyncratic","Volatility","Fama","Fama French","Alpha","CAPM"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier","label":"Identifier","values":["https://academicworks.cuny.edu/gc_etds/3494"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description.abstract","label":"Abstract","values":["In this dissertation, I propose new factor structures that are based on the Fama-French style factors but include additional locations like the industry groups and the exchanges where the stocks are traded. I show that the stock returns are clustered 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 models, a trader can gain larger profits compared to sorting the portfolio using the traditionally calculated idiosyncratic volatility.
"]},{"key":"dc:title","label":"Title","values":["New Factor Structure Models and Idiosyncratic Volatility"]}]}],"canonical_facts":{"dc:contributor.advisor":["Liuren Wu"],"dc:contributor.committeemember":["Matthew Baker","Matthew Nagler"],"dc:creator":["Elhadary, Ossama"],"dc:date.available":["2021-09-30T07:00:00Z"],"dc:description.abstract":["In this dissertation, I propose new factor structures that are based on the Fama-French style factors but include additional locations like the industry groups and the exchanges where the stocks are traded. I show that the stock returns are clustered 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 models, a trader can gain larger profits compared to sorting the portfolio using the traditionally calculated idiosyncratic volatility.
"],"dc:identifier":["https://academicworks.cuny.edu/gc_etds/3494"],"dc:subject":["Economics","Finance","Finance and Financial Management","Idiosyncratic","Volatility","Fama","Fama French","Alpha","CAPM"],"dc:title":["New Factor Structure Models and Idiosyncratic Volatility"],"thesis:degree_discipline":["Economics"],"thesis:degree_level":["Doctoral"],"thesis:degree_name":["Doctor of Philosophy"],"thesis:institution_name":["The Graduate School and University Center of The City University of New York"]},"updated_at":"2026-07-24T01:58:22Z"}