G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w24270
来源IDWorking Paper 24270
Why has Idiosyncratic Risk been Historically Low in Recent Years?
Söhnke M. Bartram; Gregory W. Brown; René M. Stulz
发表日期2018-01-29
出版年2018
语种英语
摘要Since 1965, average idiosyncratic risk (IR) has never been lower than in recent years. In contrast to the high IR in the late 1990s that has drawn considerable attention in the literature, average market-model IR is 44% lower in 2013-2017 than in 1996-2000. Macroeconomic variables help explain why IR is lower, but using only macroeconomic variables leads to large prediction errors compared to using only firm-level variables. As a result of the dramatic change in the number and composition of listed firms since the late 1990s, listed firms are larger and older. Larger and older firms have lower idiosyncratic risk. Models that use firm characteristics to predict firm-level idiosyncratic risk estimated over 1963-2012 can largely or completely explain why IR is low over 2013-2017. The same changes that bring about historically low IR lead to unusually high market-model R-squareds.
主题Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing
URLhttps://www.nber.org/papers/w24270
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/581943
推荐引用方式
GB/T 7714
Söhnke M. Bartram,Gregory W. Brown,René M. Stulz. Why has Idiosyncratic Risk been Historically Low in Recent Years?. 2018.
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
w24270.pdf(525KB)智库出版物 限制开放CC BY-NC-SA浏览
个性服务
推荐该条目
保存到收藏夹
导出为Endnote文件
谷歌学术
谷歌学术中相似的文章
[Söhnke M. Bartram]的文章
[Gregory W. Brown]的文章
[René M. Stulz]的文章
百度学术
百度学术中相似的文章
[Söhnke M. Bartram]的文章
[Gregory W. Brown]的文章
[René M. Stulz]的文章
必应学术
必应学术中相似的文章
[Söhnke M. Bartram]的文章
[Gregory W. Brown]的文章
[René M. Stulz]的文章
相关权益政策
暂无数据
收藏/分享
文件名: w24270.pdf
格式: Adobe PDF
此文件暂不支持浏览

除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。