Showing 1 - 10 of 10
We revisit the literature on using accounting earnings to estimate firm-level systematic risk, using macroeconomic indicators rather than listed-firm indexes to measure aggregate risk. Conventional listed-firm indexes reflect an unrepresentative subset of aggregate assets and thus are expected...
Persistent link: https://www.econbiz.de/10012849224
Persistent link: https://www.econbiz.de/10013273522
This study predicts and finds that the interaction of firm-level and aggregate-level shocks explains a significant portion of shocks to macroeconomic activity. Specifically, we hypothesize that the relation between uncertainty and economic growth is most pronounced when both firm-level and...
Persistent link: https://www.econbiz.de/10012998062
Persistent link: https://www.econbiz.de/10011819249
This paper demonstrates that executive compensation convexity, measured as the sensitivity of managerial equity compensation portfolios to stock volatility, predicts firm-specific crashes. A bottom-to-top decile change in compensation convexity results in a 21% increase in a firm's crash risk...
Persistent link: https://www.econbiz.de/10013020017
Persistent link: https://www.econbiz.de/10008989333
Persistent link: https://www.econbiz.de/10010486542
Persistent link: https://www.econbiz.de/10003777836
Persistent link: https://www.econbiz.de/10011622489
This paper studies the effect of hedge-fund trading on idiosyncratic risk. We hypothesize that while hedge-fund activity would often reduce idiosyncratic risk, high initial levels of idiosyncratic risk might be further amplified due to fund loss limits. Panel-regression analyses provide...
Persistent link: https://www.econbiz.de/10013093748