Why Does Idiosyncratic Risk Increase with Market Risk?
收藏NBER2016-08-01 更新2025-01-04 收录
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https://www.nber.org/papers/w22492
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资源简介：
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
提供机构：
美国国家经济研究局
创建时间：
2016-08-01
