Idiosyncratic risk and mutual fund performance

Vidal-García, Javier; Vidal, Marta; Boubaker, Sabri; Manita, Riadh

doi:10.1007/s10479-018-2794-2

Cited by 19 publications

(10 citation statements)

References 37 publications

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“…Although investors do not own an ultimately diversify portfolio for some reason, most of the moment. In this sense, some writers claim a positive relationship between unique danger and anticipated stock returns [3].…”

Section: Idiosyncratic Riskmentioning

confidence: 99%

“…To measure idiosyncratic risk, the researcher follows [3] literature using a regional version of the Fama-French three-factor model. Fama-French's three-factor model includes the differential dynamics of small-capitalization stocks compared to big capitalization stocks (SMB) and high book-to-market stocks compared to low book-tomarket stocks (HML).…”

Section: − ƒ = + [ − ƒ ] + S mentioning

confidence: 99%

“…The behavior of stock price in every country is different that showed the significant relation of idiosyncretic risk to excess market return from [1][2][3]. Each exchange has a different character, risk profile, knowledge, industries, and regulation.…”

Section: Introductionmentioning

confidence: 99%

“…The unsystematic risk or known as idiosyncratic risk found also plays a critical role capital market. Reference [3] rejected the hypothesis idiosyncratic risk negatively related to a mutual fund in the UK. In line with the [3], the stock market in ASEAN, based on a study from [1], found a positive relationship between idiosyncratic volatility and return of the stock in Malaysia, Singapore, Thailand, and to some extent Indonesia, except for the Philippines.…”

Section: Introductionmentioning

confidence: 99%

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Idiosyncratic Risk on Stock Performance in Indonesia Stock Exchange

Adesia¹,

Siahaan²

2021

Proceedings of the 5th Global Conference on Business, Management and Entrepreneurship (GCBME 2020)

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In this paper, we present the relation between idiosyncratic risk and Indonesia's stock performance using asset pricing models. We use a unique data set containing daily returns of 80 Indonesia equity of KOMPAS100 index on a 7-year period to measure stock performance. We formed portfolios based on market capitalization and book to market value. We found that idiosyncratic risk positively correlates with the excess stock return, specifically in the portfolio of secondtier Size and portfolio with highest and lowest book to market value.

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Section: Idiosyncratic Riskmentioning

confidence: 99%

Section: − ƒ = + [ − ƒ ] + S mentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

Idiosyncratic Risk on Stock Performance in Indonesia Stock Exchange

Adesia¹,

Siahaan²

2021

Proceedings of the 5th Global Conference on Business, Management and Entrepreneurship (GCBME 2020)

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“…A more recent attempt was made by Vidal-García et al (2019) to analyze the idiosyncratic risk of mutual funds, along with analyzing the relationship between mutual fund risk and performance. They found that mutual fund risk is inversely related with fund performance.…”

Section: Growth Of the Mutual Funds Industry In Pakistanmentioning

confidence: 99%

Are Islamic mutual funds exposed to lower risk compared to their conventional counterparts?

Naveed

Khawaja

Maroof

2020

IJIF

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Purpose This study aims to comparatively analyze the systematic, idiosyncratic and downside risk exposure of both Islamic and conventional funds in Pakistan to see which of the funds has higher risk exposure. Design/methodology/approach The study analyzes different types of risks involved in both Islamic and conventional funds for the period from 2009 to 2016 by using different risk measures. For systematic and idiosyncratic risk single factor CAPM and multifactor models such as Fama French three factors model and Carhart four factors model are used. For downside risk analysis different measures such as downside beta, relative beta, value at risk and expected short fall are used. Findings The study finds that Islamic funds have lower risk exposure (including total, systematic, idiosyncratic and downside risk) compared with their conventional counterparts in most of the sample years, and hence, making them appear more attractive for investment especially for Sharīʿah-compliant investors preferring low risk preferences. Practical implications As this study shows, Islamic mutual funds exhibit lower risk exposure than their conventional counterparts so investors with lower risk preferences can invest in these kinds of funds. In this way, this research provides the input to the individual investors (especially Sharīʿah-compliant investors who want to avoid interest based investment) to help them with their investment decisions as they can make a more diversified portfolio by considering Islamic funds as a mean for reducing the risk exposure. Originality/value To the best of the author’s knowledge, this study is the first attempt at world level in looking at the comparative risk analysis of various types of the risks as follows: systematic, idiosyncratic and downside risk, for both Islamic and conventional funds, and thus, provides significant contribution in the literature of mutual funds.

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Sparse factor model based on trend filtering

Kim

Fabozzi

2021

Ann Oper Res

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Idiosyncratic risk and mutual fund performance

Cited by 19 publications

References 37 publications

Idiosyncratic Risk on Stock Performance in Indonesia Stock Exchange

Idiosyncratic Risk on Stock Performance in Indonesia Stock Exchange

Are Islamic mutual funds exposed to lower risk compared to their conventional counterparts?

Sparse factor model based on trend filtering

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