منابع مشابه
Idiosyncratic Risk and the Manager
Compensating a manager with their own firm’s equity induces effort but also exposes the manager to firm-specific risk. Consequently, the discount rate of the undiversified manager differs from that of a diversified shareholder, resulting in a distortion in the optimal investment and financing policies chosen by the manager. We embed an agency conflict in a neoclassical model of the firm to inve...
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 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 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 کاملIdiosyncratic risk and volatility bounds, or, Can models with idiosyncratic risk solve the equity
Can models with idiosyncratic risk solve the equity premium puzzle? and the Federal Reserve Bank of New York provided helpful comments. The views are those of the author and do not necessarily reflect those of the Federal Reserve Bank of New York or the Federal Reserve System.
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ژورنال
عنوان ژورنال: Journal of Financial Economics
سال: 2017
ISSN: 0304-405X
DOI: 10.1016/j.jfineco.2017.07.003