Abstract
Purpose – This study aims to make modeling measurement risk in capital market variables.
 Design/methodology/approach – Using Mathematical approaches to integrated a noticeable increase in the firm-level idiosyncratic risk, the volatility measure of coeficient is greater and has a stronger upward trend than the new idiosyncratic volatility measure.
 Findings – Using the the model decomposing total risk in market variance extended by Bali et.al, we integrated the model with initial model, Fama-French idiosyncratic risk Model, we sugested new model:
 Rit -RFt = ai + bi (R Mt R Ft) + var.HLt+ var.SBt +Var.MW +Var.RW+ Var.CMA + ei
 Originality – This paper introduces a variance measure of aggregate idiosyncratic risk, which does not require estimation of market betas or correlations and is based on the concept of gain from portofolio diversification.
 Keywords: Idiosyncratic Risk, New Model
 Paper Type Research Result
Published Version
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