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Quantitative Finance · Glossário

O que é Specific risk?

Definition 24.4 Research Craft: Predictors, Backtests, Measurement, Portfolios · Capítulo 24 — Risk Models

A stock’s specific risk is the forecast standard deviation of its specific return.

Bias statistics of next-day specific returns standardised by their forecasts, by decile of the forecast, years 3 to 10. Data: rs_riskmodel.specific_deciles.
Figure 24.1. Bias statistics of next-day specific returns standardised by their forecasts, by decile of the forecast, years 3 to 10. Data: rs_riskmodel.specific_deciles.
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