並列摘要
This study examines the idiosyncratic risk of U.S. stocks for the period from 1962 to 2004. The aggregated idiosyncratic risk is demonstrated to have increased with time, while the percentage of each risk component has remained relatively stable. I also examine firm characteristics affecting the idiosyncratic risk. In addition to those factors that have been identified by previous research, such as firm size and stock price level, this study finds that trade turnover, prior return, and industry classification have significant relationship with idiosyncratic risk. Alternative regression models and sub-period analysis are performed to confirm the robustness of our results.
參考文獻
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