Idiosyncratic Risk in Mutual Fund

2009 ◽  
Author(s):  
Jia Hui Lin ◽  
Min-Hsien Chiang
Keyword(s):  
Mutual Fund ◽  
Idiosyncratic Risk

scholarly journals The Interaction of Market Risk and Idiosyncratic Risk on Equity Mutual Fund Returns

2019 ◽  
Vol 10 (6) ◽  
pp. 1
Author(s):  
John Murugesu ◽  
Chandra Sakaran
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Structural Equation ◽  
Idiosyncratic Risk ◽  
Market Risk ◽  
Fund Manager ◽  
Equity Funds ◽  
Asset Class ◽  
The Relationship ◽  
Equity Mutual Fund

This study examines the importance of idiosyncratic and systematic risks in explaining equity fund returns in Malaysia. The level of market and idiosyncratic risk in a mutual fund depends on what asset class it invests in. Equity type asset classes are exposed to both systematic and idiosyncratic risk but research generally suggest that only systematic risk is relevant in mutual fund selection since idiosyncratic risk can be reduced through fund diversification. This study attempts to expand the insights of the risk-return relationship by providing additional evidence on the direct and indirect effects of investment risk on equity mutual fund returns. Employing partial least squares structural equation modelling (PLS-SEM), we also explore if idiosyncratic risk moderates the relationship between market risk and mutual fund returns. A sample of 150 Malaysian domestic equity mutual funds comprising of large, mid & small-cap equity funds were selected from the Morningstar website.  The results indicate that market risk does not influence mutual funds returns but idiosyncratic risk has a significant and positive effect. Idiosyncratic risk is proxied by fund characteristics comprising of size, age, expenses and fund manager ability. This study shows that fund size, age or expenses are not significant and only the fund alpha which measures fund manager ability is relevant in predicting fund returns. The study also finds that the fund alpha moderates the influence of market risk on returns by changing the nature of the relationship from positive to negative.

Do liquidity and idiosyncratic risk matter? Evidence from the European mutual fund market

2014 ◽  
Vol 47 (2) ◽  
pp. 213-247 ◽  
Author(s):  
Javier Vidal-García ◽  
Marta Vidal ◽  
Duc Khuong Nguyen
Keyword(s):  
Mutual Fund ◽  
Idiosyncratic Risk

Idiosyncratic risk and mutual fund performance

2018 ◽  
Vol 281 (1-2) ◽  
pp. 349-372 ◽  
Author(s):  
Javier Vidal-García ◽  
Marta Vidal ◽  
Sabri Boubaker ◽  
Riadh Manita
Keyword(s):  
Mutual Fund ◽  
Idiosyncratic Risk ◽  
Fund Performance ◽  
Mutual Fund Performance

scholarly journals Systemic Risk, Idiosyncratic Risk and Mutual Fund Flows

2015 ◽  
Vol 03 (03) ◽  
pp. 14-17 ◽  
Author(s):  
Zhiping Jiang ◽  
Yixiang Tian ◽  
Huangang Zheng
Keyword(s):  
Systemic Risk ◽  
Mutual Fund ◽  
Idiosyncratic Risk ◽  
Fund Flows ◽  
Mutual Fund Flows
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