| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w22492 |
| 来源ID | Working Paper 22492 |
| Why Does Idiosyncratic Risk Increase with Market Risk? | |
| Söhnke M. Bartram; Gregory Brown; René M. Stulz | |
| 发表日期 | 2016-08-08 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | 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 fundamentals as higher market risk predicts greater idiosyncratic earnings volatility and as firm characteristics related to the ability of firms to adjust to higher uncertainty help explain the strength of the relation. Consistent with the view that growth options provide a hedge against macroeconomic uncertainty, we find evidence that the relation is weaker for firms with more growth options. |
| 主题 | Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w22492 |
| 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/580166 |
| 推荐引用方式 GB/T 7714 | Söhnke M. Bartram,Gregory Brown,René M. Stulz. Why Does Idiosyncratic Risk Increase with Market Risk?. 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 | ||
| w22492.pdf（454KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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