Date of Award
Summer 8-2019
Degree Type
Dissertation
Degree Name
Ph.D.
Degree Program
Financial Economics
Department
Economics and Finance
Major Professor
Neal Maroney
Second Advisor
M Kabir Hassan
Third Advisor
Duygu Zirek
Fourth Advisor
Atsuyuki Naka
Fifth Advisor
James Ronnie Davis
Abstract
Standard asset pricing theories suggest that only systematic risk is priced. Empirical studies report a relationship between idiosyncratic volatility or risk (IVOL) and asset price. The most common explanation for this anomaly is that households under-diversify creating a Bad Model problem. This paper uses an Intermediary Asset Pricing Model (IAPM) as a way to control for under-diversification in evaluating the relationship between IVOL and asset price. We find that IVOL premia is lower in an IAPM. Our findings indicate that under-diversification can explain the anomaly partially.
Recommended Citation
Ahmed, Hasib, "Pricing of Idiosyncratic Risk in an Intermediary Asset Pricing Model" (2019). University of New Orleans Theses and Dissertations. 2659.
https://scholarworks.uno.edu/td/2659
Rights
The University of New Orleans and its agents retain the non-exclusive license to archive and make accessible this dissertation or thesis in whole or in part in all forms of media, now or hereafter known. The author retains all other ownership rights to the copyright of the thesis or dissertation.