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Persistent link: https://www.econbiz.de/10001192324
Since 1965, average idiosyncratic risk (IR) has never been lower than in recent years. In contrast to the high IR in the late 1990s that has drawn considerable attention in the literature, average market-model IR is 44% lower in 2013-2017 than in 1996-2000. Macroeconomic variables help explain...
Persistent link: https://www.econbiz.de/10011969105