A Literature Review on Idiosyncratic Risks

Yıl 2018, Cilt: 9 Sayı: 16, 1836 - 1850, 30.12.2018

Barış Kocaarslan

https://doi.org/10.26466/opus.480916

Öz

Financial asset-pricing
theories aim to explain the returns of financial assets by considering various
risk factors. These theories, by nature, need to include some constraints and
assumptions. These constraints and assumptions may sometimes not coincide with
the functioning of the market mechanism. For this reason, a significant amount
of deviations are frequently seen between the observed market prices and the
estimates from financial theories. The idiosyncratic risk of the assets as an
important source of these deviations is a very hot discussion topic. The
argument that idosyncratic risks can be reduced by forming well-diversified
portfolios is the focus of this discussion. In this study, we aim to address
the potential reasons behind the pricing of non-systematic (idiosyncratic)
risks by reviewing the relevant studies in the literature. To that end, in
order to better understand the characteristics of non-systematic risks, we
first mention some weaknesses of traditional finance theories in our study.
Besides, the main reasons behind the idiosyncratic risks and the level of
sensitivity of these risks to changes in the market mechanism are evaluated in
the light of the previous findings in the related literature. Finally, the
suggestions from the literature about how to measure idiosyncratic risks are
mentioned. 

Anahtar Kelimeler

Idiosycnratic Risk, Asset Pricing, Financial Assets

Kendine Özgü Riskler Üzerine Bir Literatür Derlemesi

Öz

Finansal varlık fiyatlama
teorileri çeşitli risk faktörlerini dikkate alarak finansal varlıkların
getirilerini açıklamayı amaçlar. Bu teorilerin doğası gereği bazı kısıtları ve
varsayımları içermesi gerekmektedir. Bu kısıt ve varsayımlar bazen piyasa
mekanizmasının işleyişi ile uyuşmayabilir. Bu nedenle, gözlemlenen piyasa
fiyatları ile finansal teorilerin tahminleri arasında sıklıkla önemli miktarda
sapmalar görülmektedir. Bu sapmaların önemli bir kaynağı olarak varlıkların
kendine özgü riski çok sıcak bir tartışma konusudur. Kendine özgü risklerin iyi
çeşitlendirilmiş portföyler oluşturarak azaltılabileceği iddiası bu tartışmanın
odak noktasıdır. Bu çalışmada, literatürdeki ilgili çalışmaları gözden
geçirerek sistematik olmayan (kendine özgü) risklerin fiyatlanmasının
arkasındaki potansiyel nedenleri ele almayı amaçladık. Bu amaçla, sistematik
olmayan risklerin karakteristiklerini daha iyi anlayabilmek için çalışmamızda
ilk olarak geleneksel finans teorilerinin bazı zayıflıklarından bahsettik.
Bunun yanında, kendine özgü risklerin arkasında yatan temel nedenler ve bu
risklerin piyasa mekanizmasındaki değişikliklere olan duyarlılığın seviyesi
meselesi ilgili literatürdeki geçmiş bulguların ışığında değerlendirilmiştir.
Son olarak, kendine özgü risklerin nasıl ölçüleceği ile ilgili literatürdeki
önerilerden bahsedilmiştir.

 

Anahtar Kelimeler

Kendine Özgü Risk, Varlık Fiyatlama, Finansal Varlıklar

Kaynakça

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