ÚTIA Study Accepted by a Leading Finance Journal
A new study by ÚTIA researchers Jozef Baruník and Matěj Nevrla has been accepted for publication in the Journal of Financial and Quantitative Analysis (JFQA), one of the leading international journals in financial economics.
JFQA is one of only five finance journals included in the Financial Times FT50 list, which is used, among other purposes, to assess research quality at leading business schools. Publication is highly selective: the journal received 1,275 submissions in 2024 and accepted only around 6%.
The paper, Common Idiosyncratic Quantile Factors and Asset Prices, examines the relationship between risks specific to individual companies and market-wide risk. It shows that risks that appear to be firm-specific contain a common component that becomes more pronounced during declines in stock returns.
According to the study, stocks with greater exposure to this common risk earn a return premium of approximately 7–8% per year, even after accounting for established sources of financial risk. The factor becomes more important when financial intermediaries have less capital and market liquidity is low. It also contains information about future aggregate stock-market returns.
These findings suggest that systemic financial risk can emerge from risks that initially appear unrelated at the level of individual companies.
The accepted manuscript is already available online through Cambridge University Press, ahead of its forthcoming publication in JFQA.
Behind academic papers are hours of work, discussion and collaboration. But it's good to step away from the desk sometimes, get moving and clear your head. Even researchers need to stretch their legs!
Publication:
Jozef Baruník and Matěj Nevrla, Common Idiosyncratic Quantile Factors and Asset Prices. Journal of Financial and Quantitative Analysis.