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transactions of non-agency RMBS by insurance companies from 2006 to 2009, we show that insurance companies that became more capital … at much lower prices than other insurance companies during the crisis …
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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...
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