| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w24270 |
| 来源ID | Working 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 |
| URL | https://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 | ||
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