Essays about: "Idiosyncratic Risk"

Showing result 21 - 25 of 55 essays containing the words Idiosyncratic Risk.

1. 21. Decomposing the Term Structure of Housing Risk: Implications of Market Segmentation and Liquidity

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : August Hansson; Olov Ryding Hallin; [2018]
   Keywords : Housing risk; Real estate returns; Liquidity; House price index; Household finance;

   Abstract : This paper studies the empirical properties of the term structure of total housing risk in Sweden using a particularly rich dataset of housing transactions. We contrast recent studies by showing that, even after ten years, 75% of the total variation in housing returns will be attributable to the idiosyncratic shock. READ MORE

3. 22. What determines the differences in idiosyncratic volatility between Swedish firms and comparable European firms?

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Jesper Swanson; Linus Lindberg; [2018]
   Keywords : Total volatility; systematic volatility; idiosyncratic volatility; Fama-French three-factor model; propensity score matching; Business and Economics;

   Abstract : Firms’ stock return volatility varies across countries, and the factors driving the volatility can contribute both positively and negatively to economic growth. We show that across 3,673 firms during the time interval 2001 to 2016, stocks of Swedish firms have on average lower volatility compared to stocks of foreign European firms of similar size, age, and market-to-book value. READ MORE

4. 23. The Implications of Financial Network Architecture on the Stability of a Banking System

   University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

   Author : Michal Tulwin; [2017]
   Keywords : Banking Crisis; Financial Market; Insolvency; Network Formation;

   Abstract : The structure of interbank connections affects financial system's resilience to shocks. This thesis determines the implications of network's architecture on stability of a banking system. READ MORE

5. 24. The Effect of Customer-base Diversification on Idiosyncratic Volatility

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Ronie Islam; Anton Törnblom; [2017]
   Keywords : Customer-base Concentration; Idiosyncratic Volatility; Diversification; Business and Economics;

   Abstract : The study sets out the objective to investigate how a firm’s customer-base diversification affects its stock return idiosyncratic volatility. The research paper primarily focuses on the way that the distribution of sales impacts the firm specific risk that is unrelated to the risk of the market, and it does so through the use of both a geographical and an operating customer-base concentration measure. READ MORE

6. 25. Unbundled costs of transactions and external research as characteristics of actively managed Swedish mutual funds

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Tim Floderus; Hemming Svensson; [2017]
   Keywords : mutual fund performance; MiFID II; sell-side research; unbundling; best execution;

   Abstract : Using a unique dataset of 85 actively managed Swedish mutual funds investing in the Swedish equity markets, we study fund characteristics regarding cost structures. We find that the highest spenders on external research are large cap funds not managed by banks. READ MORE