TY - BOOK ID - 84540436 TI - Idiosyncratic Risk : An Empirical Analysis, with Implications for the Risk of Relative-Value Trading Strategies PY - 1999 SN - 1462322646 1452754241 1282107046 1451901895 9786613800398 PB - Washington, D.C. : International Monetary Fund, DB - UniCat KW - Banks and Banking KW - Finance: General KW - Investments: Stocks KW - Portfolio Choice KW - Investment Decisions KW - International Financial Markets KW - General Financial Markets: General (includes Measurement and Data) KW - Pension Funds KW - Non-bank Financial Institutions KW - Financial Instruments KW - Institutional Investors KW - Financing Policy KW - Financial Risk and Risk Management KW - Capital and Ownership Structure KW - Value of Firms KW - Goodwill KW - Finance KW - Investment & securities KW - Financial services law & regulation KW - Stock markets KW - Stocks KW - Market risk KW - Securities markets KW - Emerging and frontier financial markets KW - Financial markets KW - Financial institutions KW - Financial regulation and supervision KW - Stock exchanges KW - Financial risk management KW - Capital market KW - Financial services industry KW - United States UR - https://www.unicat.be/uniCat?func=search&query=sysid:84540436 AB - 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. ER -