Idiosyncratic Risk : An Empirical Analysis, with Implications for the Risk of Relative-Value Trading Strategies /
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-va...
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| Formaat: | Tijdschrift |
| Taal: | English |
| Gepubliceerd in: |
Washington, D.C. :
International Monetary Fund,
1999.
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| Reeks: | IMF Working Papers; Working Paper ;
No. 1999/148 |
| Online toegang: | Full text available on IMF |