Time: 13:00-15:00 (UK Time), Wednesday, 24 April 2024
Presenter: Dr Jaideep Oberoi, SOAS University of London
Chair: Professor Victor Murinde, SOAS University of London
Online venue: Click here to join the seminar on Teams (For any inquiry about how to join the online seminar, please contact Dr. Meng Xie at xm1@soas.ac.uk)

Abstract
We examine the relevance of idiosyncratic risk in explaining the cross-section of stock returns. The literature on idiosyncratic risk, and whether it is priced, is growing and still subject to debate. Specifically, we investigate the pricing of idiosyncratic risk (IR) over time, taking into account variation in the cross-sectional dispersion (CSD) of stock returns. CSD can be seen as an opposing counterpart of average correlations, but it is also used in the literature on herd behaviour in markets. Looking at differences in returns on portfolios of high and low idiosyncratic volatility stocks constructed in different CSD regimes, we observe significant differences between the regimes. We explore these differences further by sorting them along betas. Overall, the findings of this paper have important implications for policy and practice in risk management. 

Presenter

Dr Jaideep Oberi is Senior Lecturer in Finance at School of Finance and Management, SOAS University of London. Jaideep's research interests are in the field of risk management. His publications cover topics in corporate (interest rate) risk management, market microstructure risk estimation, and modelling of long-term risks in pension assets. His research also covers other sources of risk (such as demographic change, weather and governance), as well as asset return modelling in general.