The Graduate School and University Center of The City University of New York
New Factor Structure Models and Idiosyncratic Volatility
Abstract
dc:description.abstract<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>
Degree
thesis:*- Name thesis:degree_name
- Doctor of Philosophy
- Level thesis:degree_level
- Doctoral
- Discipline thesis:degree_discipline
- Economics
- Grantor
- The Graduate School and University Center of The City University of New York
- Year dc:date.available
- 2019
Author and committee
dc:creator, dc:contributor.*- Author dc:creator
-
- Elhadary, Ossama
- Advisor dc:contributor.advisor
-
- Liuren Wu
- Committee members dc:contributor.committeemember
-
- Matthew Baker
- Matthew Nagler
Subjects
dc:subject × 9Identifiers
dc:identifier.*- Repository record dc:identifier
- https://academicworks.cuny.edu/gc_etds/3494
- OAI identifier oai:identifier
- oai:academicworks.cuny.edu:gc_etds-4535