Idiosyncratic risk and financial policy
نویسندگان
چکیده
منابع مشابه
Idiosyncratic risk and financial policy
In economies subject to uninsurable idiosyncratic risks, competitive equilibrium allocations are constrained inefficient: reallocations of assets support Pareto superior allocations. This is the case even if the asset market for the allocation of aggregate risks is complete. © 2011 Elsevier Inc. All rights reserved. JEL classification: D52; D60; H20
متن کاملFinancial market liberalization and the pricing of idiosyncratic risk
Article history: Received 29 August 2012 Received in revised form 21 May 2013 Accepted 6 August 2013 Available online 15 August 2013 We test the impact of idiosyncratic risk on stock returns for emerging markets that experience financial market liberalizations. Idiosyncratic risk is positively associated with returns prior to financial market liberalization, but liberalization diminishes this e...
متن کاملFinancial Innovations, Idiosyncratic Risk, and the Joint Evolution of Real and Financial Volatilities
This paper presents a model in which financial innovations explain three widely discussed stylized facts regarding trends in economic volatility over the past two decades. Aggregate volatility of real variables such as output has fallen. In particular, the covariance between firm and industry activities has declined, and so has employment volatility for the majority of firms. In contrast, the v...
متن کامل“ Idiosyncratic Risk , Systematic Risk , and Firm Welfare ”
We study the motivation of an entrepreneur to provide disclosure that works primarily to reduce investors’assessment of the firm’s idiosyncratic risk. We refer to this disclosure as “idiosyncratic disclosure.”We assume that the firm’s cash flows are determined by both idiosyncratic and systematic events. The model shows that when the entrepreneur faces a capital market where competition to acqu...
متن کاملIdiosyncratic risk and volatility bounds
This paper uses Hansen and Jagannathan’s (1991) volatility bounds to evaluate models with idiosyncratic consumption risk. I show that idiosyncratic risk does not change the volatility bounds at all when consumers have CRRA preferences and the distribution of the idiosyncratic shock is independent of the aggregate state. Following Mankiw (1986), I then show that idiosyncratic risk can help to en...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Economic Theory
سال: 2011
ISSN: 0022-0531
DOI: 10.1016/j.jet.2011.03.012