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论文类型：会议论文

第一作者：Liu Jingjian

合写作者：Zhen Yawen,Wang Jian

发表时间：2014-01-01

收录刊物：CPCI-SSH

页面范围：303-308

关键字：idiosyncratic risk; stock market; CAPM; Fama-French three-factor model

摘要：In recent years, idiosyncratic risk has become one of the most important factors to explain some financial anomalies. This paper makes use of CAPM and Fama-French three-factor model with the monthly and daily data of listed companies in biological pharmaceutical industry to analyze idiosyncratic risk. Results show that Fama-French model has better capacity than CAPM for explaining idiosyncratic risk, and level of idiosyncratic risk is not very high, while the long term risk is much higher than the short term risk. Conclusions are of importance for the pricing of idiosyncratic risk and constructing investment portfolio.