01689cas a2200241 a 4500 AALejournalIMF001060 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451856804 1018-5941 BD-DhAAL BD-DhAAL Richards, Anthony. Idiosyncratic Risk : An Empirical Analysis, with Implications for the Risk of Relative-Value Trading Strategies / Anthony Richards. Washington, D.C. : International Monetary Fund, 1999. 1 online resource (33 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students This paper models the idiosyncratic or asset-specific return of an asset as the return on a portfolio that is long in that asset and short in other assets in the same class, thereby removing the common components of returns. This is the type of 'hedged' position that is held by relative-value investors. Weekly returns data for seven different asset classes suggest that idiosyncratic risk is: higher at times of large return outcomes for the asset class as a whole; positively autocorrelated; and correlated across different asset classes. The implications for risk management are discussed. Mode of access: Internet IMF Working Papers; Working Paper ; No. 1999/148 Full text available on IMF http://elibrary.imf.org/view/journals/001/1999/148/001.1999.issue-148-en.xml IMF e-Library