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UID:2c66185ac5628abfa1043b86ad81870c
CATEGORIES:Seminars
CREATED:20161213T191005
SUMMARY:Lunch Seminar: Sohnke Bartram - University of Warwick
DESCRIPTION;ENCODING=QUOTED-PRINTABLE:Why does idiosyncratic risk have a systematic component?\nAbstract:\nFrom 1
 962 through 2011, 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 mar
 ket-to-book groupings. Though stock liquidity affects the strength of the r
 elation, the relation is strong for the most liquid stocks. Firm characteri
 stics related to the ability of firms to adjust to higher uncertainty help 
 explain the strength of the relation. Specifically, the relation is weaker 
 for firms with more growth options. This evidence is consistent with the vi
 ew that growth options provide a hedge against macroeconomic uncertainty.\n
DTSTAMP:20260404T155917Z
DTSTART:20151016T130000Z
DTEND:20151016T140000Z
SEQUENCE:0
TRANSP:OPAQUE
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