Idiosyncratic risk : an empirical analysis, with implications for the risk of relative-value trading strategies /
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| Author / Creator: | Richards, Anthony J. (Anthony John), 1962- |
|---|---|
| Imprint: | [Washington, D.C.] : International Monetary Fund, Research Depertment, ©1999. |
| Description: | 1 online resource (33 pages) : illustrations |
| Language: | English |
| Series: | IMF working paper, 2227-8885 ; WP/99/148 IMF working paper ; WP/99/148. |
| Subject: | |
| Format: | E-Resource Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/12496473 |
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| 050 | 4 | |a HG3881.5.I58 |b W67 no.99/148 | |
| 100 | 1 | |a Richards, Anthony J. |q (Anthony John), |d 1962- |0 http://id.loc.gov/authorities/names/no95023604 | |
| 245 | 1 | 0 | |a Idiosyncratic risk : |b an empirical analysis, with implications for the risk of relative-value trading strategies / |c prepared by Anthony J. Richards. |
| 260 | |a [Washington, D.C.] : |b International Monetary Fund, Research Depertment, |c ©1999. | ||
| 300 | |a 1 online resource (33 pages) : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
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| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a IMF working paper, |x 2227-8885 ; |v WP/99/148 | |
| 504 | |a Includes bibliographical references (pages 32-33). | ||
| 506 | |3 Use copy |f Restrictions unspecified |2 star |5 MiAaHDL | ||
| 533 | |a Electronic reproduction. |b [Place of publication not identified] : |c HathiTrust Digital Library, |d 2010. |5 MiAaHDL | ||
| 538 | |a Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. |u http://purl.oclc.org/DLF/benchrepro0212 |5 MiAaHDL | ||
| 583 | 1 | |a digitized |c 2010 |h HathiTrust Digital Library |l committed to preserve |2 pda |5 MiAaHDL | |
| 588 | 0 | |a Print version record. | |
| 520 | 8 | |a Annotation |b 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. | |
| 546 | |a English. | ||
| 650 | 0 | |a Stocks |x Econometric models. | |
| 650 | 0 | |a Risk |x Econometric models. | |
| 650 | 0 | |a Hedging (Finance) |x Econometric models. | |
| 650 | 0 | |a Rate of return |x Econometric models. | |
| 650 | 0 | |a Risk management |x Econometric models. | |
| 650 | 6 | |a Actions (Titres de société) |x Modèles économétriques. | |
| 650 | 6 | |a Risque |x Modèles économétriques. | |
| 650 | 6 | |a Couverture (Finances) |x Modèles économétriques. | |
| 650 | 6 | |a Taux de rendement |x Modèles économétriques. | |
| 650 | 6 | |a Gestion du risque |x Modèles économétriques. | |
| 650 | 7 | |a Hedging (Finance) |x Econometric models. |2 fast |0 (OCoLC)fst00954460 | |
| 650 | 7 | |a Rate of return |x Econometric models. |2 fast |0 (OCoLC)fst01090237 | |
| 650 | 7 | |a Risk |x Econometric models. |2 fast |0 (OCoLC)fst01098121 | |
| 650 | 7 | |a Risk management |x Econometric models. |2 fast |0 (OCoLC)fst01098172 | |
| 650 | 7 | |a Stocks |x Econometric models. |2 fast |0 (OCoLC)fst01133714 | |
| 655 | 4 | |a Electronic books. | |
| 710 | 2 | |a International Monetary Fund. |b Research Department. |0 http://id.loc.gov/authorities/names/n77001219 | |
| 776 | 0 | 8 | |i Print version: |a Richards, Anthony J. (Anthony John), 1962- |t Idiosyncratic risk. |d [Washington, D.C.] : International Monetary Fund, Research Depertment, ©1999 |w (OCoLC)42938286 |
| 830 | 0 | |a IMF working paper ; |v WP/99/148. |0 http://id.loc.gov/authorities/names/no89010263 | |
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| 928 | |t Library of Congress classification |a HG3881.5.I58 W67 no.99/148 |l Online |c UC-FullText |u http://elibrary.imf.org/view/IMF001/03230-9781451856804/03230-9781451856804/03230-9781451856804.xml |z International Monetary Fund |g ebooks |i 12140500 | ||