Does Bank Size and Non-Interest Income Effect Banks’ Systematic Risk Exposure? A Lesson from Pakistan

One proposed explanation for the low-beta anomaly – a puzzling finding that stocks with low systematic risk tend to earn higher returns than the CAPM predicts and vice versa – is that mutual funds drive up demand for high-beta stocks, leading to systematic mispricing. We find evidence that Thai equity mutual funds tend to alter their risk exposure in response to fund flows, but only for incentivized funds where investors receive immediate tax benefits. We argue that the benefits change the way investors make their decisions, raising an issue of how public policies may have unintended consequences in capital markets.

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The Short-Run and Long-Run Components of Idiosyncratic Volatility and Stock Returns

Management Science ◽

10.1287/mnsc.2020.3884 ◽

2021 ◽

Author(s):

Yunting Liu

Keyword(s):

Risk Factors ◽

Stock Returns ◽

Systematic Risk ◽

Risk Exposure ◽

Idiosyncratic Volatility ◽

Growth Options ◽

Long Run ◽

Expected Stock Returns ◽

Short Run ◽

Systematic Risk Factors

To capture the dynamics of idiosyncratic volatility of stock returns over different horizons and investigate the relationship between idiosyncratic volatility and expected stock returns, this paper develops and estimates a parsimonious model of idiosyncratic volatility consisting of a short-run and a long-run component. The conditional short-run and long-run components are found to be positively and negatively related to expected stock returns, respectively. The positive relation between the short-run component and stock returns may be caused by investors requiring compensation for bearing idiosyncratic volatility risk when facing trading frictions and hold underdiversified portfolios. The negative relationship between the long-run component and stock returns may reflect the fact that stocks with high long-run idiosyncratic volatility are less exposed to systematic risk factors and, hence, earn lower returns. Moreover, the low-risk exposure of stocks characterized by high idiosyncratic volatility lends support to real-option-based mechanisms to explain this negative relation. In particular, the systematic risk of a firm with abundant growth options crucially depends upon the risk exposure of these options. The value of growth options could rise significantly because of convexity when the increase in idiosyncratic volatility occurs over long horizons. And growth options’ systematic risk could fall because the relative magnitude of their value in relation to systematic risk factors decreases. This paper was accepted by David Simchi-Levi, finance.

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Diversification Gains and Systematic Risk Exposure in International Public Real Estate Markets

Proceedings of the 20th Annual European Real Estate Society Conference - Vienna, Austria ◽

10.15396/eres2013_298 ◽

2013 ◽

Keyword(s):

Real Estate ◽

Systematic Risk ◽

Risk Exposure ◽

Real Estate Markets

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Productivity Gaps and Global Systematic Risk Exposure: Pricing Country-Industry Portfolios

SSRN Electronic Journal ◽

10.2139/ssrn.3663430 ◽

2020 ◽

Author(s):

Punit Anand ◽

Ronald J. Balvers

Keyword(s):

Systematic Risk ◽

Risk Exposure

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Pengaruh Faktor Fundamental, Risiko Sistematis Dan Ekonomi Makro Terhadap Return Saham Syariah Yang Tergabung Di Jakarta Islamic Index (JII) Pada Periode 2010 – 2014

Kajian Bisnis STIE Widya Wiwaha ◽

10.32477/jkb.v24i1.217 ◽

2017 ◽

Vol 24 (1) ◽

pp. 54-70

Author(s):

Hasanah Setyowati ◽

Riyanti Ningsih

Keyword(s):

Exchange Rate ◽

Stock Exchange ◽

Systematic Risk ◽

Secondary Data ◽

Analysis Model ◽

Macroeconomic Factors ◽

Return On Equity ◽

Equity Ratio ◽

Regression Techniques ◽

The Exchange Rate

This study aimed to obtain empirical evidence on the influence of fundamental factors, systematic risk and macroeconomics on the returns Islamic stock of companies incorporated in the Jakarta Islamic Index in 2010-2014. The variables used were the fundamental factors that are proxied by Earning Per Share (EPS), Return on Equity (ROE), Debt to Equity Ratio (DER); Systematic risk is proxied by Beta Shares; macroeconomic factors is proxied by the inflation rate and the exchange rate. The samples of this study are the enterprises incorporated in Jakarta Islamic Index (JII) at the Indonesian Stock Exchange. The sampling method was using purposive sampling. There were 12 samples of Islamic stocks that meet the criteria to be used as samples. The analysis model used is multiple linear regression techniques and the type of data used is secondary data. The study found that all variables, which are Earning Per Share (EPS), Return on Equity (ROE), Debt to Equity Ratio (DER), Beta stock, inflation and the exchange rate do not significantly affect the return of sharia stock either simultaneously or partially.

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Risk Factors of Collateralized Loan Obligations and Corporate Bonds

Zeitschrift für Bankrecht und Bankwirtschaft ◽

10.15375/zbb-2020-0604 ◽

2020 ◽

Vol 32 (6) ◽

pp. 347-355

Author(s):

Mark Wahrenburg ◽

Andreas Barth ◽

Mohammad Izadi ◽

Anas Rahhal

Keyword(s):

Risk Factors ◽

Risk Factor ◽

Asset Pricing ◽

Systemic Risk ◽

Corporate Bonds ◽

Risk Exposure ◽

Expected Returns ◽

Yield Spreads ◽

Pricing Factors ◽

Return Difference

AbstractStructured products like collateralized loan obligations (CLOs) tend to offer significantly higher yield spreads than corporate bonds (CBs) with the same rating. At the same time, empirical evidence does not indicate that this higher yield is reduced by higher default losses of CLOs. The evidence thus suggests that CLOs offer higher expected returns compared to CB with similar credit risk. This study aims to analyze whether this return difference is captured by asset pricing factors. We show that market risk is the predominant risk factor for both CBs and CLOs. CLO investors, however, additionally demand a premium for their risk exposure towards systemic risk. This premium is inversely related to the rating class of the CLO.

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