| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w22016 |
| 来源ID | Working Paper 22016 |
| Is Idiosyncratic Risk Conditionally Priced? | |
| Rajnish Mehra; Sunil Wahal; Daruo Xie | |
| 发表日期 | 2016-02-29 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | In Merton (1987), idiosyncratic risk is priced in equilibrium as a consequence of incomplete diversification. We modify his model to allow the degree of diversification to vary with average idiosyncratic volatility. This simple recognition results in a state-dependent idiosyncratic risk premium that is higher when average idiosyncratic volatility is low, and vice versa. The data appear to be consistent with a positive state-dependent premium for idiosyncratic risk both in the US and in other developed markets. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w22016 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/579690 |
| 推荐引用方式 GB/T 7714 | Rajnish Mehra,Sunil Wahal,Daruo Xie. Is Idiosyncratic Risk Conditionally Priced?. 2016. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w22016.pdf（723KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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