Idiosyncratic risk puzzle and its pricing: Do firm characteristics matter? Evidence of BRICS countries Article Swipe
Saba Kausar
,
Abdul Rashid
,
Syed Zulfiqar Ali Shah
·
YOU?
·
· 2022
· Open Access
·
· DOI: https://doi.org/10.1016/j.bir.2022.09.013
YOU?
·
· 2022
· Open Access
·
· DOI: https://doi.org/10.1016/j.bir.2022.09.013
This paper examines the relationship between idiosyncratic risk and stock returns in BRICS (Brazil, Russia, India, China, and South Africa) countries by applying parametric and nonparametric approaches. It also explores the idiosyncratic risk puzzle by dividing firms into groups based on fundamentals, such as their market risk, financial constraints, and liquidity position. Finally, it investigates whether the idiosyncratic risk is priced in BRICS countries’ equity markets. The results provide strong evidence of the idiosyncratic risk puzzle in all BRICS countries, as the stock returns are significantly and negatively related to idiosyncratic risk during the period examined. Consistent with the arbitrage asymmetry, this negative relationship among high-beta, illiquid, and financially constrained firms is stronger and is more statistically significant than that of their counterpart firms. Finally, the results prove that the arbitrage score factor is a significant pricing factor in all the markets examined.
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- Type
- article
- Language
- en
- Landing Page
- https://doi.org/10.1016/j.bir.2022.09.013
- OA Status
- gold
- References
- 53
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- 10
- OpenAlex ID
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https://openalex.org/W4302009086Canonical identifier for this work in OpenAlex
- DOI
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https://doi.org/10.1016/j.bir.2022.09.013Digital Object Identifier
- Title
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Idiosyncratic risk puzzle and its pricing: Do firm characteristics matter? Evidence of BRICS countriesWork title
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articleOpenAlex work type
- Language
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enPrimary language
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2022Year of publication
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2022-10-05Full publication date if available
- Authors
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Saba Kausar, Abdul Rashid, Syed Zulfiqar Ali ShahList of authors in order
- Landing page
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https://doi.org/10.1016/j.bir.2022.09.013Publisher landing page
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YesWhether a free full text is available
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goldOpen access status per OpenAlex
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https://doi.org/10.1016/j.bir.2022.09.013Direct OA link when available
- Concepts
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Systematic risk, Economics, Arbitrage, Capital asset pricing model, Equity (law), Financial economics, Emerging markets, Market liquidity, Stock (firearms), Monetary economics, China, Financial market, Finance, Law, Engineering, Mechanical engineering, Political scienceTop concepts (fields/topics) attached by OpenAlex
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0Total citation count in OpenAlex
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53Number of works referenced by this work
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10Other works algorithmically related by OpenAlex
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