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1 page/≈275 words
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Style:
Harvard
Subject:
Accounting, Finance, SPSS
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Essay
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English (U.S.)
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Topic:

Do the Size and Idiosyncratic Volatility Effect Exist in Different Market and Period?

Essay Instructions:

do the size and idiosyncratic volatility effect exsit in different market and period(just do question 2)
do a literature review for the question the requirement will post on resources

What do practitioners look for in literature review?
• Specific Questions for Investment Professionals to Answer from the Literature Review (Assignment Task 2):
1. Existence: What are the Size and Idiosyncratic Volatility Effects? i.e., do these effects exist?
2. Robustness: Do they exist in different markets, different periods?
3. Explanations: What do researchers say are the reasons for these effects to exist?
4. Implications to Researchers and Practitioners:
//the effects are driven by systematic risks, the strategies will not deliver positive alphas (i.e., positive abnormal returns). They are just fair games.
//they are driven by mispricing, opportunity to deliver alphas for my clients!

Essay Sample Content Preview:

Do the Size and Idiosyncratic Volatility Effect Exist in Different Market and Period?
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Do the Size and Idiosyncratic Volatility Effect Exist in Different Market and Period?
Do the Size and Idiosyncratic Volatility Effect Exist in Different Market and Period?
FazД±l and Ipek (2013) noted that idiosyncratic volatility is the most significant aspect of total volatility and does occur in different markets in different periods. Aziz, Ansari, and McMillan (2017) also highlighted that there is a positive relationship between idiosyncratic volatility with the expected returns on investments. However, the relationship is usually determined by the market and period when investments are made. The effects of idiosyncratic volatility exist, and numerous investors with massive assets of individual stocks usually fail to diversify in order to eliminate risks. Goyal and Santa-Clara (2001) noted that there is a relation between market returns and the total stock risk. As noted earlier, size and idiosyncratic volatility is an aspect of the total risk, which affirms its existence, and investors can quickly diversify the “idiosyncratic risk away” (Goyal & Santa-Clara, 2001).
The size and idiosyncratic volatility are usually unobservable and depend on the model ...
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