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Jurnal

The Financial Review

Keyword

market return, market risk, idiosyncratic risk, business cycle

Pengarang

  1. Xiaoquan Jiang∗
  2. Bong-Soo Lee

    Subject

    FRE

    [Abstrak]

    We examine the dynamic relations among market returns, market (MV), and idiosyncratic
    (IV) around business cycles. Compared to the conventional view, which treats MV and
    IV separately, we first find that excess return on the market anticipates negative MV and IV,
    suggesting market return’s role as an economic indicator, with the relation stronger in recessions.
    Second, IV helps predict positive MV, mainly in early part of recessions, suggesting a
    dynamic evolution from IV to MV. Third, MV helps predict negative IV, suggesting MV may
    substitute IV to some extent.

    Periode

    Vol 49, Nomor 3, Tahun 2014

    [Berkas]

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