Analysis of systematic risk around firm-specific news in an emerging market using high frequency data

Parametric Estimates of High Frequency Market Microstructure Noise as an Unsystematic Risk

Noise is essential for the existence of a liquid market, and if noise traders are not present in the market, the trade volume will drop severely and an important aspect of the market philosophy will be lost. However, these noise traders bring noise to the market, and the existence of noise in prices indicates a temporary deviation in prices from their fundamental values. In particular, high-fre...

Time-Varying Modeling of Systematic Risk: using High-Frequency Characterization of Tehran Stock Exchange

We decompose time-varying beta for stock into beta for continuous systematic risk and beta for discontinuous systematic risk. Brownian motion is assumed as nature of price movements in our modeling. Our empirical research is based on high-frequency data for stocks from Tehran Stock Exchange. Our market portfolio experiences 136 days out of 243 trading days with jumps which is a considerable rat...

Market Sensitivity of a High Frequency Trading Firm Stock

Factors Affecting Firm Competitiveness: Evidence from an Emerging Market

The objective of this study is to investigate the factors affecting firm competitiveness in an emerging market—Turkey. In the paper, competitiveness is proxied by a firm’s financial performance. The empirical analysis is based on firms listed on Borsa Istanbul and covers the period between 2005 and 2014. Results from a firm-level panel data model indicate that return on assets is positively rel...

Firm Specific Risk and Return: Quantile Regression Application

The present study aims at investigating the relationship between firm specific risk and stock return using cross-sectional quantile regression. In order to study the power of firm specific risk in explaining cross-sectional return, a combination of Fama-Macbeth (1973) model and quantile regression is used. To this aim, a sample of 270 firms listed in Tehran Stock Exchange during 1999-2010 was i...