Idiosyncratic tail risk and stock return in Indonesia

Idiosyncratic tail risk and stock return in Indonesia

Idiosyncratic tail risk explains the financial crisis which happened due to idiosyncratic risk. It could also be used as a factor for asset pricing, making it necessary to be further studied since it could help protect investors from extreme incidents that could bring loss. We investigate the effect...

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Bibliographic Details
Main Authors: Iyvon Herliawan, Sung Suk Kim, Kie Van Ivanky Saputra, Ferry Vincenttius Ferdinand
Format: Article
Language:English
Published: Universitas Merdeka Malang 2020-04-01
Series:Jurnal Keuangan dan Perbankan
Subjects:
asset pricing
generalized extreme value distribution
idiosyncratic tail risk
Online Access:http://jurnal.unmer.ac.id/index.php/jkdp/article/view/4083

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