Is Idiosyncratic Risk Conditionally Priced?
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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
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美国国家经济研究局创建时间：
2016-02-01
