The study aims to identify does idiosyncratic risk really matter? evidence from the egyptian stock market, by studying the impact of idiosyncratic risk on stock returns, by using data from the egyptian stock exchange following the methodology of Campbell et al.(2001). during the years 20062010 the study results indicate that idiosyncratic volatility is the biggest component of total volatility and shows no trend in this period. that small stocks idiosyncratic volatility predicts the small capitalization premium component of market returns . Beside that our analyses about the predictive ability of various measures of idiosyncratic risk provide evidence that idiosyncratic volatility is not a significant predictor for future return.
Sharawy, M. F. S. (2015). The Impact of Private Risks on Stock Returns in the Egyptian Stock Exchange. Journal of Alexandria University for Administrative Sciences, 52(2), 160-181. doi: 10.21608/acj.2015.63872
MLA
Mahmoud Fathy Shalkamy Sharawy. "The Impact of Private Risks on Stock Returns in the Egyptian Stock Exchange", Journal of Alexandria University for Administrative Sciences, 52, 2, 2015, 160-181. doi: 10.21608/acj.2015.63872
HARVARD
Sharawy, M. F. S. (2015). 'The Impact of Private Risks on Stock Returns in the Egyptian Stock Exchange', Journal of Alexandria University for Administrative Sciences, 52(2), pp. 160-181. doi: 10.21608/acj.2015.63872
VANCOUVER
Sharawy, M. F. S. The Impact of Private Risks on Stock Returns in the Egyptian Stock Exchange. Journal of Alexandria University for Administrative Sciences, 2015; 52(2): 160-181. doi: 10.21608/acj.2015.63872
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