Showing 6 Result(s)

Project – Risk Premia

The objective of this project is to test whether, contrary to the predictions of the CAPM, specific (or idiosyncratic) risk is remunerated in equilibrium.

The identification of a possible remuneration of the specific risk has been carried out using two different approaches:

  • the Fama-MacBeth (1973) regression of expected rates of return on the values of β and
    specific risk of 25 portfolios constituted from the quintiles of β and specific risk
    specific risk
  • the calculation of the expected rates of return of the 25 portfolios over the year following their