Pablo N D’Erasmo; Moscoso-Boedo, Hernan J - University of Virginia, Department of Economics - 2011
We are interested in the endogenous determination of firm level idiosyncratic volatility and its evolution over the business cycle. Using data from the Kauffman Firm Survey and Compustat, we find that idiosyncratic volatility at the firm level is negatively correlated with intangible...