New Risk Measure and Idiosyncratic Risk in Taiwan Stock Market

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Yin-Ching Jan; Su-Ling Chiu; Jerry M. C. Wang;
  • Journal: International Journal of Financial Research,volume 4,issue 2 April,pages77-82
  • Subject: asset pricing model, martingale, idiosyncratic risk, Taiwan stock market

Under the model developed by Merton (1987), the idiosyncratic risk would be important to explain the expected stock return. We follow the approach of Daniel and Titman (1998), and use the risk measure developed by Jan and Wang (2012) to examine whether idiosyncratic ris... View more
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