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UID:2c66185ac5628abfa1043b86ad81870c
CATEGORIES:Seminars
CREATED:20161213T191005
SUMMARY:Lunch Seminar: Sohnke Bartram - University of Warwick
DESCRIPTION;ENCODING=QUOTED-PRINTABLE:<p style="text-align: justify;"><strong>Why does idiosyncratic risk have a 
 systematic component?</strong></p><p style="text-align: justify;">Abstract:
 </p><p style="text-align: justify;">From 1962 through 2011, idiosyncratic r
 isk (IR) is high when market risk (MR) is high. We show that the positive r
 elation between IR and MR is highly stable through time and is robust acros
 s exchanges, firm size, liquidity, and market-to-book groupings. Though sto
 ck liquidity affects the strength of the relation, the relation is strong f
 or the most liquid stocks. Firm characteristics related to the ability of f
 irms to adjust to higher uncertainty help explain the strength of the relat
 ion. Specifically, the relation is weaker for firms with more growth option
 s. This evidence is consistent with the view that growth options provide a 
 hedge against macroeconomic uncertainty.</p>
DTSTAMP:20260404T003841Z
DTSTART:20151016T130000Z
DTEND:20151016T140000Z
SEQUENCE:0
TRANSP:OPAQUE
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