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The term structure of systematic and idiosyncratic risk

Hollstein, F., Prokopczuk, M. and Wese Simen, C. (2019) The term structure of systematic and idiosyncratic risk. Journal of Futures Markets, 39 (4). pp. 435-460. ISSN 1096-9934

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To link to this item DOI: 10.1002/fut.21985

Abstract/Summary

We study the term structure of variance (total risk), systematic, and idiosyncratic risk. Consistent with the expectations hypothesis, we find that, for the entire market, the slope of the term structure of variance is mainly informative about the path of future variance. Thus, there is little indication of a time‐varying term premium. Turning the focus to individual stocks, we cannot reject the expectations hypothesis for systematic variance, but we strongly reject it for idiosyncratic variance. Our results are robust to jumps and potential statistical biases.

Item Type:Article
Refereed:Yes
Divisions:Henley Business School > ICMA Centre
ID Code:81271
Uncontrolled Keywords:Economics and Econometrics, Accounting, General Business, Management and Accounting, Finance
Publisher:Wiley

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