Strathprints Home | Open Access | Browse | Search | User area | Copyright | Help | Library Home | SUPrimo

Can asset pricing models price idiosyncratic risk in U.K. stock returns?

Fletcher, Jonathan (2007) Can asset pricing models price idiosyncratic risk in U.K. stock returns? Financial Review, 42 (4). pp. 507-535. ISSN 0732-8516

Full text not available in this repository. (Request a copy from the Strathclyde author)

Abstract

I examine how well different linear factor models and consumption-based asset pricing models price idiosyncratic risk in U.K. stock returns. Correctly pricing idiosyncratic risk is a significant challenge for many of the models I consider. For some consumption-based models, there is a clear tradeoff in the performance of the models between correctly pricing systematic risk and idiosyncratic risk. Linear factor models do a better job in most cases in pricing systematic risk than consumption-based models but the reverse is true for idiosyncratic risk.

Item type: Article
ID code: 16007
Keywords: idiosyncratic risk, stochastic discount factor, Finance
Subjects: Social Sciences > Finance
Department: Strathclyde Business School > Accounting and Finance
Related URLs:
    Depositing user: Miss Donna McDougall
    Date Deposited: 20 Jan 2010 11:28
    Last modified: 12 Mar 2012 11:03
    URI: http://strathprints.strath.ac.uk/id/eprint/16007

    Actions (login required)

    View Item