Michael L. Hermes, Erica M. Kleinman, Kevin P. Schrik
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The purpose of this study is to determine for a select group of Flyer Fund stocks (20 stocks) the impact of idiosyncratic risk on stock performance using regression analysis. Monthly stock returns are regressed on S&P 500 market returns for the period 2007-2010. The standard deviation of the residuals are a proxy for idiosyncratic risk and can be used to forecast future stock returns. A cross sectional regression analysis using 2011 stock returns as the dependent variable and idiosyncratic risk and beta as the independent variables was run for the 20 stocks. The results indicate that both idiosyncratic risk and beta contribute meaningfully as predictors of stock performance in 2011.
Robert D. Dean
Primary Advisor's Department
Economics and Finance
Stander Symposium poster
"An analysis of idiosyncratic risk and flyer fund performance in thr highly volatile market period 2007-2011" (2012). Stander Symposium Projects. 82.