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
constitution
