MODELING RISK MEASUREMENT IN EMERGING MARKET
| Main Author: | Asri, Marselinus |
|---|---|
| Format: | Article info application/pdf |
| Bahasa: | eng |
| Terbitan: |
Institut Transparansi dan Akuntabilitas Publik (INSPIRING)
, 2021
|
| Online Access: |
https://journal.inspiring.or.id/cjba/article/view/10 https://journal.inspiring.or.id/cjba/article/view/10/1 |
| ctrlnum |
article-10 |
|---|---|
| fullrecord |
<?xml version="1.0"?>
<dc schemaLocation="http://www.openarchives.org/OAI/2.0/oai_dc/ http://www.openarchives.org/OAI/2.0/oai_dc.xsd"><title lang="en-US">MODELING RISK MEASUREMENT IN EMERGING MARKET</title><creator>Asri, Marselinus</creator><description lang="en-US">Purpose – This study aims to make modeling measurement risk in capital market variables.
Design/methodology/approach – Using Mathematical approaches to integrated a noticeable increase in the firm-level idiosyncratic risk, the volatility measure of coeficient is greater and has a stronger upward trend than the new idiosyncratic volatility measure.
Findings – Using the the model decomposing total risk in market variance extended by Bali et.al, we integrated the model with initial model, Fama-French idiosyncratic risk Model, we sugested new model:
Rit -RFt = ai + bi (R&nbsp;Mt&nbsp;R&nbsp;Ft)&nbsp;+&nbsp; var.HLt+ var.SBt +Var.MW&nbsp; +Var.RW+ Var.CMA + ei
Originality – This paper introduces a variance measure of aggregate idiosyncratic risk, which does not require estimation of market betas or correlations and is based on the concept of gain from portofolio diversification.
Keywords: Idiosyncratic Risk, New Model
Paper Type Research Result</description><publisher lang="en-US">Institut Transparansi dan Akuntabilitas Publik (INSPIRING)</publisher><date>2021-05-07</date><type>Journal:Article</type><type>Other:info:eu-repo/semantics/publishedVersion</type><type>Journal:Article</type><type>File:application/pdf</type><identifier>https://journal.inspiring.or.id/cjba/article/view/10</identifier><identifier>10.58792/cjba.v1i1.10</identifier><source lang="en-US">Contemporary Journal on Business and Accounting; Vol 1 No 1 (2021): Contemporary Journal on Business and Accounting (CjBA); 1-22</source><source>2776-8996</source><source>2777-0877</source><source>10.58792/cjba.v1i1</source><language>eng</language><relation>https://journal.inspiring.or.id/cjba/article/view/10/1</relation><rights lang="en-US">Copyright (c) 2021 Contemporary Journal on Business and Accounting</rights><recordID>article-10</recordID></dc>
|
| language |
eng |
| format |
Journal:Article Journal Other:info:eu-repo/semantics/publishedVersion Other File:application/pdf File |
| author |
Asri, Marselinus |
| title |
MODELING RISK MEASUREMENT IN EMERGING MARKET |
| publisher |
Institut Transparansi dan Akuntabilitas Publik (INSPIRING) |
| publishDate |
2021 |
| url |
https://journal.inspiring.or.id/cjba/article/view/10 https://journal.inspiring.or.id/cjba/article/view/10/1 |
| contents |
Purpose – This study aims to make modeling measurement risk in capital market variables.
Design/methodology/approach – Using Mathematical approaches to integrated a noticeable increase in the firm-level idiosyncratic risk, the volatility measure of coeficient is greater and has a stronger upward trend than the new idiosyncratic volatility measure.
Findings – Using the the model decomposing total risk in market variance extended by Bali et.al, we integrated the model with initial model, Fama-French idiosyncratic risk Model, we sugested new model:
Rit -RFt = ai + bi (R Mt R Ft) + var.HLt+ var.SBt +Var.MW +Var.RW+ Var.CMA + ei
Originality – This paper introduces a variance measure of aggregate idiosyncratic risk, which does not require estimation of market betas or correlations and is based on the concept of gain from portofolio diversification.
Keywords: Idiosyncratic Risk, New Model
Paper Type Research Result |
| id |
IOS19745.article-10 |
| institution |
Institut Transparansi dan Akuntabilitas Publik (INSPIRING) |
| institution_id |
10433 |
| institution_type |
library:public library |
| library |
Contemporary Journal on Business and Accounting |
| library_id |
7754 |
| collection |
Contemporary Journal on Business and Accounting (CjBA) |
| repository_id |
19745 |
| subject_area |
Accounting_Finance Accounting_Auditing TAX Auditing |
| city |
KOTA MAKASSAR |
| province |
SULAWESI SELATAN |
| repoId |
IOS19745 |
| first_indexed |
2024-06-13T04:01:50Z |
| last_indexed |
2024-06-13T04:01:50Z |
| recordtype |
dc |
| _version_ |
1801717580518391808 |
| score |
9.9049015 |