Why Does Idiosyncratic Risk Increase with Market Risk?-Reference-Cited by-同舟云学术

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Why Does Idiosyncratic Risk Increase with Market Risk?

Published:2016 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Bartram SShnke M.,Brown Gregory W.,Stulz Renn M.

Publisher

Elsevier BV

Reference32 articles.

1. Procyclical leverage and Value-at-Risk;T Adrian;Review of Financial Studies,2014

2. Illiquidity and stock returns: cross-section and time-series effect;Y Amihud;Journal of Financial Markets,2002

3. The cross-section of volatility and expected returns;A Ang;Journal of Finance,2006

4. High idiosyncratic volatility and low returns: international and further U.S. evidence;A Ang;Journal of Financial Economics,2009

5. Measuring the Financial Soundness of U.S. Firms, 1926-2012

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