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The Effect of Managers on Systematic Risk
SSRN Electronic Journal, 2020Tracking the movement of top managers across firms, we document the importance of manager-specific fixed effects in explaining heterogeneity in firm exposures to systematic risk. In equilibrium, manager fixed effects on systematic risk are positively related with manager fixed effects on stock returns.
Antoinette Schoar, Kelvin Yeung, Luo Zuo
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Is Bank Default Risk Systematic?
SSRN Electronic Journal, 2011Abstract We evaluate the impact of commonly used indicators of bank distress on broad (i.e. sector and country) risks. This issue deserves special attention in the banking industry where there is a strong degree of interconnectedness among institutions and the default of a single bank may cause a cascading failure, which could potentially bankrupt ...
FIORDELISI, FRANCO +1 more
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Systematic Risk for Heterogeneous Time Horizons
The Journal of Finance, 1975THE OBJECTIVES Of this paper are two-fold. First, we will reiterate the existence of a significant problem in empirical analysis relating to the investment time horizon assumption of traditional return-systematic risk analysis models. Second, we will develop and empirically test a model for analyzing the return and systematic risk characteristics of ...
Hasty, John M, Jr, Fielitz, Bruce D
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Interest Rate Risk and Systematic Risk: An Interpretation
The Journal of Finance, 1978UNCERTAINTY, REGARDING future interest rates is generally presumed to be an inherent source of risk in default free bonds. In addition, a number of writers consider the beta coefficient of the market model as the relevant measure of risk for a default free security.
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Systematic Risk Management for the Innovative Enterprise
2009 42nd Hawaii International Conference on System Sciences, 2009We present systematic decision support for innovation management in this conceptual paper. At the core of our system is a dynamically evolving risk taxonomy that can be mapped to either qualitative or quantitative decision processes. In the context of a portfolio of potential and actual business offerings, we discuss how to spread, hedge, or mitigate ...
Strong, R. +4 more
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Is the Risk of Bankruptcy a Systematic Risk?
The Journal of Finance, 1998Several studies suggest that a firm distress risk factor could be behind the size and the book‐to‐market effects. A natural proxy for firm distress is bankruptcy risk. If bankruptcy risk is systematic, one would expect a positive association between bankruptcy risk and subsequent realized returns.
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MARKET VALUE AND SYSTEMATIC RISK
The Journal of Finance, 1977ONE OF THE CENTRAL ISSUES in the theory of finance is the relationship between expected risk and expected return required by individuals investing in assets. The Capital Asset Pricing Model (CAPM)' provides such a theoretical relationship under conditions of market equilibrium.
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Australian Journal of Management, 1978
This paper conducts several tests of association between accounting information and the systematic risks of firm's equities. It also evaluates several models of the prediction of systematic risk from past rate-of-return information.
A. D. Castagna, Z. P. Matolcsy
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This paper conducts several tests of association between accounting information and the systematic risks of firm's equities. It also evaluates several models of the prediction of systematic risk from past rate-of-return information.
A. D. Castagna, Z. P. Matolcsy
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The Impact of Information Risk on the Systematic Risk [PDF]
International Journal of Academic Research in Business and Social Sciences, 2014 Systematic risk is among the most significant topics and has been Longley considered by the researchers of the capital market. The final goal of the most investors, stakeholders and managers achieve the highest return. They confront risk and it is necessary to equilibrate the risk and return.
Mahmoud Moeinadin +2 more
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International Journal of Theoretical and Applied Finance
In the realm of portfolio management, the focus lies on constructing a well-diversified portfolio to mitigate unsystematic risk, allowing for the identification and measurement of systematic risk e.g. through uni-factor models, such as CAPM, and multi-factor models, such as APT.
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In the realm of portfolio management, the focus lies on constructing a well-diversified portfolio to mitigate unsystematic risk, allowing for the identification and measurement of systematic risk e.g. through uni-factor models, such as CAPM, and multi-factor models, such as APT.
openaire +2 more sources