Modeling systematic and non-systematic risk in the uk cross-sectional equities: evidence of regimes and overstated parametric estimates
Rossi, Francesco.
Modeling systematic and non-systematic risk in the uk cross-sectional equities: evidence of regimes and overstated parametric estimates Francesco Rossi - Hydrabad The IUP Publications June 2013 - 7-18 p. Paper
The paper studies the behavior and interaction of systematic and idiosyncratic components of risk in a cross-section of UK stocks. No clear evidence is found of a trend in any component of total risk, but different ‘regimes’ in the behavior of each component of total risk, in their correlation patterns and thus in their contribution to aggregate risk, are documented. Comparing parametric and non-parametric estimates of residual risk, it is found that the former significantly overstates diversifiable risk, opposite to some previous findings for the US market, with the difference being very large, especially when an industry component is included.
Stocks ( Finance)--Rate of Return
Assets
Volatality
Risk management in business
Analysis of variance
Modeling systematic and non-systematic risk in the uk cross-sectional equities: evidence of regimes and overstated parametric estimates Francesco Rossi - Hydrabad The IUP Publications June 2013 - 7-18 p. Paper
The paper studies the behavior and interaction of systematic and idiosyncratic components of risk in a cross-section of UK stocks. No clear evidence is found of a trend in any component of total risk, but different ‘regimes’ in the behavior of each component of total risk, in their correlation patterns and thus in their contribution to aggregate risk, are documented. Comparing parametric and non-parametric estimates of residual risk, it is found that the former significantly overstates diversifiable risk, opposite to some previous findings for the US market, with the difference being very large, especially when an industry component is included.
Stocks ( Finance)--Rate of Return
Assets
Volatality
Risk management in business
Analysis of variance