Idiosyncratic Risk in Emerging Markets
In this study, the properties and portfolio management implications of the value-weighted idiosyncratic volatility in 24 emerging markets are examined. The paper provides evidence against the view that the rise of idiosyncratic risk is a global phenomenon. Furthermore, specific and market risks jointly predict market returns as there is a negative (positive) relation between idiosyncratic (market) risk and subsequent stock returns. Idiosyncratic volatility is the most important component of tracking error volatility and it does not exhibit either an upward or a downward trend. Thus, investors do not have to increase, on an average, the number of stocks that they hold, to keep the active risk constant.
|Date of creation:||2008|
|Date of revision:|
|Contact details of provider:|| Phone: +30-2710-230128|
Web page: http://econ.uop.gr/~econ/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:uop:wpaper:0018. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Kleanthis Gatziolis)
If references are entirely missing, you can add them using this form.