Expected Returns and Idiosyncratic Risk: Industry-level Evidence from Russia

Jyri Kinnunen, Minna Martikainen

Forskningsoutput: TidskriftsbidragArtikelVetenskapligPeer review

5 Citeringar (Scopus)

Sammanfattning

We explore a relation between expected returns and idiosyncratic risk in Russia. Investors in the Russian stock market cannot fully diversify their portfolios due to transaction costs, information gathering and processing costs, and shortcomings in investor protection. This implies that investors demand a premium for idiosyncratic risk. We estimate the price of idiosyncratic risk using MIDAS regressions and a cross-section of Russian industry portfolios. We find that idiosyncratic risk is economically significant and commands a negative (positive) premium, on average, of 10.0 (8.0) percent per year before (after) the global financial crisis in 2008. The results remain unaffected after controlling for global pricing factors and return reversal.
OriginalspråkEngelska
Referentgranskad vetenskaplig tidskriftEmerging Markets Finance and Trade
Volym53
Nummer11
Sidor (från-till) 2528-2544
Antal sidor17
ISSN1540-496X
DOI
StatusPublicerad - 07.08.2017
MoE-publikationstypA1 Originalartikel i en vetenskaplig tidskrift

Nyckelord

  • 512 Företagsekonomi
  • 511 Nationalekonomi

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