Why Does Idiosyncratic Risk Increase with Market Risk?

نویسندگان
چکیده

برای دانلود رایگان متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Why does idiosyncratic risk increase with market risk?

From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive relation between IR and MR is highly stable through time and is robust across exchanges, firm size, liquidity, and market-to-book groupings. Though stock liquidity affects the strength of the relation, the relation is strong for the most liquid stocks. The relation has roots in funda...

متن کامل

Why does diabetes mellitus increase the risk of cardiovascular disease?

The main etiology for mortality and a great percentage of morbidity in patients with diabetes mellitus is atherosclerosis. The pathogenesis of cardiovascular disease (CVD) in diabetes is multifactorial and can be affected by metabolic and other factors. A hypothesis for the initial lesion of atherosclerosis is endothelial dysfunction, defined pragmatically as changes in the concentration of the...

متن کامل

Financial 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 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 کامل

Idiosyncratic 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.

متن کامل

ذخیره 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: SSRN Electronic Journal

سال: 2016

ISSN: 1556-5068

DOI: 10.2139/ssrn.2828666