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The Financial Review


market return, market risk, idiosyncratic risk, business cycle


  1. Xiaoquan Jiang∗
  2. Bong-Soo Lee




    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.


    Vol 49, Nomor 3, Tahun 2014


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