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Why does idiosyncratic risk increase with market risk?
Bartram, Söhnke M.; Brown, Gregory W.; Stulz, René M. - 2016
Persistent link: https://www.econbiz.de/10011528647
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Why does idiosyncratic risk increase with market risk?
Bartram, Söhnke M.; Brown, Gregory W.; Stulz, René M. - 2016
From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive relation between IR and MR is highly stable through time and is robust across exchanges, firm size, liquidity, and market-to-book groupings. Though stock liquidity affects the...
Persistent link: https://www.econbiz.de/10011520321
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The impact of the introduction of the euro on foreign exchange rate risk exposures
Bartram, Söhnke M. (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10002659953
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Empirical modeling of the DEM/USD and DEM/JPY foreign exchange rate : structural shifts in GARCH models and their implications
Herwartz, Helmut; Reimers, Hans-Eggert - 2001
Persistent link: https://www.econbiz.de/10001631316
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The impact of the introduction of the Euro on foreign exchange rate risk exposures
Bartram, Söhnke M. (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001786264
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On the (nonlinear) relationship between exchange rate uncertainty and trade : an investigation of US trade figures in the Group of Seven
Herwartz, Helmut (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001918978
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Estimating dynamic equilibrium models with stochastic volatility
Fernández-Villaverde, Jesús; Guerrón-Quintana, Pablo A. - 2012
Persistent link: https://www.econbiz.de/10009632872
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Estimating dynamic equilibrium models with stochastic volatility
Fernández-Villaverde, Jesús; Guerrón-Quintana, Pablo A. - 2012
Persistent link: https://www.econbiz.de/10009655189
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Why does idiosyncratic risk increase with market risk?
Bartram, Söhnke M.; Brown, Gregory W.; Stulz, René M. - 2017
From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive relation between IR and MR is highly stable through time and is robust across exchanges, firm size, liquidity, and market-to-book groupings. Though stock liquidity affects the...
Persistent link: https://www.econbiz.de/10011674278
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Why does idiosyncratic risk increase with market risk?
Bartram, Söhnke M.; Brown, Gregory W.; Stulz, René M. - 2016
From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive relation between IR and MR is highly stable through time and is robust across exchanges, firm size, liquidity, and market-to-book groupings. Though stock liquidity affects the...
Persistent link: https://www.econbiz.de/10011962224