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|Other authors / contributors:||International Monetary Fund. Research Department.|
|Notes:||Includes bibliographical references (pages 32-33).|
Electronic reproduction. [Place of publication not identified] : HathiTrust Digital Library, 2010.
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|Summary:||Annotation This paper models the idiosyncratic or asset-specific return of an asset as the return on a portfolio that is long in that asset and short in other assets in the same class, thereby removing the common components of returns. This is the type of hedged position that is held by relative-value investors. Weekly returns data for seven different asset classes suggest that idiosyncratic risk is: higher at times of large return outcomes for the asset class as a whole; positively autocorrelated; and correlated across different asset classes. the implications for risk management are discussed.|
|Other form:||Print version: Richards, Anthony J. (Anthony John), 1962- Idiosyncratic risk. [Washington, D.C.] : International Monetary Fund, Research Depertment, ©1999|