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The Prediction of Systematic and Specific Risk in Common Stocks

Citations

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Cited by:

  1. Antonio Roma, 2006. "Common factors and balance sheet structure of major European banks," BNL Quarterly Review, Banca Nazionale del Lavoro, vol. 59(237), pages 123-170.
  2. Kei Nakagawa & Takumi Uchida & Tomohisa Aoshima, 2018. "Deep Factor Model," Papers 1810.01278, arXiv.org.
  3. Subrata Roy, 2016. "Another Look in Conditioning Alphas on Economic Information: Indian Evidence," Global Business Review, International Management Institute, vol. 17(1), pages 191-213, February.
  4. Aysha Sami Latif & Attaullah Shah, 2021. "The Impact of Quality of Accounting Information on Cost of Capital: Insight from an Emerging Economy," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 11(4), pages 292-307, April.
  5. Jeong-Bon Kim & Roland Lipka & Heibatollah Sami, 2012. "Portfolio performance and accounting measures of earnings: an alternative look at usefulness," Review of Quantitative Finance and Accounting, Springer, vol. 38(1), pages 87-107, January.
  6. Christopher B. Barry, 1980. "Bayesian Betas And Deception: A Comment," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 3(1), pages 85-90, March.
  7. Assis de Salles, Andre, 2021. "Assessing the First Shocks of Covid-19 Pandemic on the Idiosyncratic Risk in the Brazilian and the Emerging Markets," MPRA Paper 113586, University Library of Munich, Germany.
  8. Aloke Ghosh & Doocheol Moon & Kishore Tandon, 2007. "CEO Ownership and Discretionary Investments," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(5‐6), pages 819-839, June.
  9. Abdoh, Hussein, 2019. "Product market competition and earnings exposure to productivity shocks," Economics Letters, Elsevier, vol. 174(C), pages 31-34.
  10. David Yechiam Aharon & Yossi Yagil, 2019. "The Impact of Financial Leverage on the Variance of Stock Returns," IJFS, MDPI, vol. 7(1), pages 1-18, March.
  11. Simin, Timothy, 2008. "The Poor Predictive Performance of Asset Pricing Models," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 43(2), pages 355-380, June.
  12. Maik Eisenbeiss & Goran Kauermann & Willi Semmler, 2007. "Estimating Beta-Coefficients of German Stock Data: A Non-Parametric Approach," The European Journal of Finance, Taylor & Francis Journals, vol. 13(6), pages 503-522.
  13. Antoinette Schoar & Kelvin Yeung & Luo Zuo, 2020. "The Effect of Managers on Systematic Risk," NBER Working Papers 27487, National Bureau of Economic Research, Inc.
  14. Jin, Li & Merton, Robert C. & Bodie, Zvi, 2006. "Do a firm's equity returns reflect the risk of its pension plan?," Journal of Financial Economics, Elsevier, vol. 81(1), pages 1-26, July.
  15. Yuan Liao & Xinjie Ma & Andreas Neuhierl & Linda Schilling, 2025. "The Uncertainty of Machine Learning Predictions in Asset Pricing," Papers 2503.00549, arXiv.org.
  16. Berkowitz, Michael K., 1998. "Estimating the market risk for nontraded securities: An application to Canadian public utilities," International Review of Financial Analysis, Elsevier, vol. 7(2), pages 171-179.
  17. Cho, Thummim, 2018. "Turning alphas into betas: arbitrage and the cross-section of risk," LSE Research Online Documents on Economics 118915, London School of Economics and Political Science, LSE Library.
  18. Jon Poynter & James Winder & Tzu Tai, 2015. "An analysis of co-movements in industrial sector indices over the last 30 years," Review of Quantitative Finance and Accounting, Springer, vol. 44(1), pages 69-88, January.
  19. Andre Assis de Salles, 2021. "COVID-19 Pandemic Initial Effects on the Idiosyncratic Risk in Latin America," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(3), pages 1-21, Julio - S.
  20. Dain C. Donelson & Robert J. Resutek, 2015. "The predictive qualities of earnings volatility and earnings uncertainty," Review of Accounting Studies, Springer, vol. 20(1), pages 470-500, March.
  21. Andre Assis de Salles, 2023. "Assessing the First Shocks of the Covid-19 Pandemic on the Idiosyncratic Risk in the Brazilian and the Others Emerging Markets," Technium Business and Management, Technium Science, vol. 4(1), pages 1-9.
  22. Lisa R. Goldberg & Hubeyb Gurdogan & Alec Kercheval, 2025. "Portfolio optimisation via strategy-specific eigenvector shrinkage," Finance and Stochastics, Springer, vol. 29(3), pages 665-706, July.
  23. Shahwali Khan & Michael E. Bradbury & Steven Cahan, 2016. "The volatility of comprehensive income and its association with market risk," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 56(3), pages 727-748, September.
  24. Gwangheon Hong & Sudipto Sarkar, 2007. "Equity Systematic Risk (Beta) and Its Determinants," Contemporary Accounting Research, John Wiley & Sons, vol. 24(2), pages 423-466, June.
  25. J. B. Heaton & N. G. Polson & J. H. Witte, 2016. "Deep Portfolio Theory," Papers 1605.07230, arXiv.org, revised Jan 2018.
  26. Martin R. Young & Peter J. Lenk, 1998. "Hierarchical Bayes Methods for Multifactor Model Estimation and Portfolio Selection," Management Science, INFORMS, vol. 44(11-Part-2), pages 111-124, November.
  27. Jacquier, Eric & Titman, Sheridan & YalçIn, Atakan, 2010. "Predicting systematic risk: Implications from growth options," Journal of Empirical Finance, Elsevier, vol. 17(5), pages 991-1005, December.
  28. Kei Nakagawa & Masaya Abe & Junpei Komiyama, 2019. "A Robust Transferable Deep Learning Framework for Cross-sectional Investment Strategy," Papers 1910.01491, arXiv.org.
  29. Rainer Baule & Olaf Korn & Sven Saßning, 2016. "Which Beta Is Best? On the Information Content of Option†implied Betas," European Financial Management, European Financial Management Association, vol. 22(3), pages 450-483, June.
  30. Drobetz, Wolfgang & Menzel, Christina & Schröder, Henning, 2016. "Systematic risk behavior in cyclical industries: The case of shipping," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 88(C), pages 129-145.
  31. Badr E. Ismail & Moon K. Kim & Florence R. Kirk, 1994. "Accounting data and the prediction of risk in the extremes," Review of Financial Economics, John Wiley & Sons, vol. 4(1), pages 55-68, September.
  32. Sadorsky, Perry, 2012. "Modeling renewable energy company risk," Energy Policy, Elsevier, vol. 40(C), pages 39-48.
  33. Sarmiento-Sabogal, Julio & Sadeghi, Mehdi, 2014. "Unlevered betas and the cost of equity capital: An empirical approach," The North American Journal of Economics and Finance, Elsevier, vol. 30(C), pages 90-105.
  34. Máté Fain & Helena Naffa, 2019. "Performance Measurement of Active Investment Strategies Using Pure Factor Portfolios," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 18(2), pages 52-86.
  35. Ray Ball & Gil Sadka & Ayung Tseng, 2022. "Correction to: using accounting earnings and aggregate economic indicators to estimate firm-level systematic risk," Review of Accounting Studies, Springer, vol. 27(2), pages 647-648, June.
  36. Thorsten Hens & Fatemeh Naebi, 2022. "Behavioral heterogeneity in the CAPM with evolutionary dynamics," Journal of Evolutionary Economics, Springer, vol. 32(5), pages 1499-1521, November.
  37. Michael Basch & Gonzalo García-Huidobro, 1997. "Costo de Capital en Segmentos Industriales: Una Estimación Robusta," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 34(102), pages 139-160.
  38. Jacek Welc, 2014. "Impact of Earnings Smoothness on Stock Prices, Stock Returns and Future Earnings Changes - the Polish Experience," European Financial and Accounting Journal, Prague University of Economics and Business, vol. 2014(3), pages 67-94.
  39. Antonio Roma, 2006. "Common factors and balance sheet structure of major European banks," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 59(237), pages 123-170.
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