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Idiosyncratic risk really drives stock returns; Spanish evidence
Miralles Marcelo, José Luis; Miralles Quirós, María del Mar; Miralles Quirós, José LuisFollowing the theoretical model of Merton (1987), we provide a new perspective of study about the role of idiosyncratic risk in the asset pricing process. More precisely, we analyze whether the idiosyncratic risk premium depends on the idiosyncratic risk level of an asset as well as the vatriation in the market-wide measure of idiosyncratic risk. As expected, we obtain a net positive risk premium for the Spanis...
Volatility forecasting with range models: An evaluation of new alternatives to ...
Miralles Quirós, José Luis; Daza Izquierdo, JulioThe aim of this paper is to analyze the forecasting ability of the CARR model proposed by Chou (2005) using the S&P 500. We extend the data sample, allowing for the analysis of different stock market circumstances and propose the use of various range estimators in order to analyze their forecasting performance. Our results show that there are two range-based models that outperform the forecasting ability of the...
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