Journal of

Marketing Development and Competitiveness

Scholar Gateway

Abstracts prior to volume 5(1) have been archived!

Issue 5(1), October 2010 -- Paper Abstracts

Girard  (p. 9-22)

Cooper (p. 23-32)

Kunz-Osborne (p. 33-41)

Coulmas-Law (p.42-46)

Stasio (p. 47-56)

Albert-Valette-Florence (p.57-63)

Zhang-Rauch (p. 64-70)

Alam-Yasin (p. 71-78)

Mattare-Monahan-Shah (p. 79-94)

Nonis-Hudson-Hunt (p. 95-106)

JOURNAL OF APPLIED BUSINESS AND ECONOMICS

Idiosyncratic Risk Pricing in Canada

Author(s): Shishir Singh

Citation: Shishir Singh, (2014) "Idiosyncratic Risk Pricing in Canada," Journal of Applied Business and Economics, Vol. 16, Iss. 1, pp. 110-127

Article Type: Research paper

Publisher: North American Business Press

Abstract:

This paper confirms the relationship between idiosyncratic risk and excess stock returns for Canadian

equities. The relationship between returns and idiosyncratic risk is examined using Fama-MacBeth twostep

methodology with a modified Carhart four-factor (five-beta) model. The Fama-MacBeth tests are

conducted with and without the presence of control variables for liquidity (proxied by amortized spread

or the illiquidity measure of Amihud) and firm-specific information embedded in stock prices (proxied by

synchronicity and the zero-return&trade metric). The conditional relation between returns and

idiosyncratic risk for Canadian stocks is robust and significant. Given the model dependencies and

metrics, the paper posits this to a higher competitive environment, investor under-diversification, and

lower market power faced by Canadian firms as compared to US firms.