Tools
Sorted by:
Try your query at:
 |
 |
 |
 |
 |
 |
Results 11 - 20
of
1,019
IRES Working Paper Series Idiosyncratic Risk and REIT Returns Idiosyncratic Risk and REIT Returns Idiosyncratic Risk and REIT Returns Idiosyncratic Risk and REIT Returns
"... Abstract The volatility of a stock returns can be decomposed into market and firm-specific volatility, with the former commonly known as systematic risk and the later as idiosyncratic risk. This study examines the relevance of idiosyncratic risk in explaining the monthly cross-sectional returns of ..."
Abstract
- Add to MetaCart
Abstract The volatility of a stock returns can be decomposed into market and firm-specific volatility, with the former commonly known as systematic risk and the later as idiosyncratic risk. This study examines the relevance of idiosyncratic risk in explaining the monthly cross-sectional returns
Idiosyncratic RiskMatters
- Journal of Finance
, 2003
"... This paper takes a new look at the predictability of stock market returns with risk measures.We ¢nd a signi¢cant positive relation between average stock variance (largely idiosyncratic) and the return on the market. In contrast, the variance of the market has no forecasting power for the market retu ..."
Abstract
-
Cited by 1 (0 self)
- Add to MetaCart
This paper takes a new look at the predictability of stock market returns with risk measures.We ¢nd a signi¢cant positive relation between average stock variance (largely idiosyncratic) and the return on the market. In contrast, the variance of the market has no forecasting power for the market
Idiosyncratic Risk and the Manager ∗
, 2013
"... Compensating a manager with their own firm’s equity induces effort but also exposes the manager to firm-specific risk. Consequently, the discount rate of the undiversified manager differs from that of a diversified shareholder, resulting in a distortion in the optimal investment and financing polici ..."
Abstract
- Add to MetaCart
Compensating a manager with their own firm’s equity induces effort but also exposes the manager to firm-specific risk. Consequently, the discount rate of the undiversified manager differs from that of a diversified shareholder, resulting in a distortion in the optimal investment and financing
Asset Pricing with Idiosyncratic Risk and Overlapping Generations
, 2001
"... Constantinides and Due (1996) show that for idiosyncratic risk to matter for asset pricing the shocks must (i) be highly persistent and (ii) become more volatile during economic contractions. We show that data from the Panel Study on Income Dynamics (PSID) are consistent with these requirements. Our ..."
Abstract
-
Cited by 144 (12 self)
- Add to MetaCart
Constantinides and Due (1996) show that for idiosyncratic risk to matter for asset pricing the shocks must (i) be highly persistent and (ii) become more volatile during economic contractions. We show that data from the Panel Study on Income Dynamics (PSID) are consistent with these requirements
Idiosyncratic Risk and Aggregate Employment Dynamics
, 2001
"... This paper studies how producers ’ idiosyncratic risks impact aggregate employment dynamics when there is a trade-off between workers ’ productivity and costs of job creation and destruction. In our analysis, increasing idiosyncratic risk induces producers to move workers out of structured jobs that ..."
Abstract
- Add to MetaCart
This paper studies how producers ’ idiosyncratic risks impact aggregate employment dynamics when there is a trade-off between workers ’ productivity and costs of job creation and destruction. In our analysis, increasing idiosyncratic risk induces producers to move workers out of structured jobs
Idiosyncratic Risk and Aggregate Employment Dynamics
, 2000
"... This paper studies how producers’ idiosyncratic risks a¤ect an industry’s aggregate dynamics in an environment where certainty equivalence fails. In the model, producers can place workers in two types of jobs, organized and temporary. Workers are less productive in temporary jobs, but creating an or ..."
Abstract
-
Cited by 14 (2 self)
- Add to MetaCart
This paper studies how producers’ idiosyncratic risks a¤ect an industry’s aggregate dynamics in an environment where certainty equivalence fails. In the model, producers can place workers in two types of jobs, organized and temporary. Workers are less productive in temporary jobs, but creating
Idiosyncratic Risk, Investor Base, and Returns
"... Using four different proxies for a firm’s investor base we demonstrate that idiosyncratic risk premiums are larger for neglected stocks and smaller or economically insignificant for visible stocks. Since neglected stocks have greater idiosyncratic volatility (IV), the total IV risk premium (price × ..."
Abstract
- Add to MetaCart
Using four different proxies for a firm’s investor base we demonstrate that idiosyncratic risk premiums are larger for neglected stocks and smaller or economically insignificant for visible stocks. Since neglected stocks have greater idiosyncratic volatility (IV), the total IV risk premium (price
ESSAYS ON INCOME TAXATION AND IDIOSYNCRATIC RISK
, 2012
"... I study the role of heterogeneity and idiosyncratic risk in Macroeconomics, and their implications on problems of income taxation. In the first chapter, I study the effects of redistributive taxation in an incomplete market economy with heteroge-neous agents and idiosyncratic risk. I focus on the ro ..."
Abstract
- Add to MetaCart
I study the role of heterogeneity and idiosyncratic risk in Macroeconomics, and their implications on problems of income taxation. In the first chapter, I study the effects of redistributive taxation in an incomplete market economy with heteroge-neous agents and idiosyncratic risk. I focus
Rule in Economies with Uninsurable Idiosyncratic Risks ∗
"... The paper studies asset prices and capital accumulation in a monetary economy with nondiversifiable idiosyncratic risks. A government issued unbacked currency is introduced into agent’s preferences in a dynamic GEI (General Equilibrium with Incomplete market) model with CARA preferences and normal d ..."
Abstract
- Add to MetaCart
The paper studies asset prices and capital accumulation in a monetary economy with nondiversifiable idiosyncratic risks. A government issued unbacked currency is introduced into agent’s preferences in a dynamic GEI (General Equilibrium with Incomplete market) model with CARA preferences and normal
When Does Idiosyncratic Risk Really Matter?
, 2009
"... The evidence on the relation between idiosyncratic risk and future market return is at odds with the theory in Merton (1987). We argue that this is because conventional idiosyncratic risk measures are too noisy that consequently camouflage the true pricing relation suggested by the theory in empiric ..."
Abstract
- Add to MetaCart
The evidence on the relation between idiosyncratic risk and future market return is at odds with the theory in Merton (1987). We argue that this is because conventional idiosyncratic risk measures are too noisy that consequently camouflage the true pricing relation suggested by the theory
Results 11 - 20
of
1,019
