Why is there a secular decline in idiosyncratic risk in the 2000s?

Söhnke M. Bartram (University of Warwick Gregory W. Brown, The University of North Carolina at Chapel Hill), René M. Stulz (The Ohio State University, NBER, and ECGI)

Except for relatively short but intense episodes of high market risk, average idiosyncratic risk (IR) falls steadily after 2000 until almost the end of our sample period in 2017. The decrease has been such that from 2012 to 2017 average IR was lower than any time since 1965. The secular decline can be explained by the fact that U.S. publicly listed firms have become larger, older, and their stock more liquid. The same changes that bring about historically low IR lead to increasingly high market-model R-squareds

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Year of publication:	[2019]
Authors:	Bartram, Söhnke M. ; Brown, Gregory W. ; Stulz, René M.
Publisher:	[Columbus, Ohio] : The Ohio State University, Fisher College of Business, Charles A. Dice Center for Research in Financial Economics
Subject:	Idiosyncratic risk \| market risk \| liquidity \| firm age \| public listing decline \| Risiko \| Risk \| Marktrisiko \| Market risk \| Volatilität \| Volatility \| Theorie \| Theory

Extent:	1 Online-Ressource (circa 47 Seiten) Illustrationen
Series:	Fisher College of Business working paper series. - Columbus, Ohio : [Verlag nicht ermittelbar], ZDB-ID 2189279-9. - Vol. WP 2019, 19 Charles A. Dice Center Working Paper ; No. 2019-19 Fisher College of Business working paper series. - Columbus, Ohio : [Verlag nicht ermittelbar], ZDB-ID 2412551-9. - Vol. WP 2019-03, 019
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
Other identifiers:	10.2139/ssrn.3450845 [DOI]
Classification:	G10 - General Financial Markets. General ; G11 - Portfolio Choice ; G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012120300