系统性风险
波动性(金融)
经济
波动性风险溢价
衡平法
金融经济学
经验证据
风险溢价
股权溢价之谜
波动性风险
隐含波动率
货币经济学
政治学
认识论
哲学
法学
作者
Zhiyao Chen,Ilya A. Strebulaev,Youqiang Xing,Xiaoyan Zhang
出处
期刊:Management Science
[Institute for Operations Research and the Management Sciences]
日期:2021-05-01
卷期号:67 (5): 2751-2772
被引量:11
标识
DOI:10.1287/mnsc.2020.3593
摘要
We find strong empirical support for the risk-shifting mechanism to account for the puzzling negative relation between idiosyncratic volatility and future stock returns. First, equity holders take on investments with high idiosyncratic risk when their firms are in distress and receive less monitoring from institutional holders as well as when the aggregate economy is in a bad state. Second, the strategically increased idiosyncratic volatility decreases equity betas, particularly in bad states when the market risk premium is high. The negative covariance between the equity beta and the market risk premium causes low and negative returns and alphas in firms with high idiosyncratic volatility. This paper was accepted by Tomasz Piskorski, finance.
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