This paper introduces an alternate measure of idiosyncratic risk leveraged from the decomposition method to further eliminate the residual systematic risk inherent in the factor asset pricing model. Combining both complementary techniques contributes to a more comprehensive firm-level...

This paper examines the possible determinants for the sources of variations in ASEAN stock returns across financial crises. Using a comprehensive data of 4043 firms from six ASEAN countries and 40 industries, we find that lagged country return and concentration are among the determinants that...