From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive …-to-book groupings. Though stock liquidity affects the strength of the relation, the relation is strong for the most liquid stocks. The … relation has roots in fundamentals as higher market risk predicts greater idiosyncratic earnings volatility and as firm …

This paper employs weighted least squares to examine the risk-return relation by applying high-frequency data from four … returns and expected risk. However, by using quantile regressions, we find that the risk-return relation moves from negative … to positive as the returns’ quantile increases. A positive risk-return relation is valid only in the upper quantiles. The …

evidence indicates that stocks with higher idiosyncratic volatility have the lower exposition on the indegree risk factor. …

From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive …-to-book groupings. Though stock liquidity affects the strength of the relation, the relation is strong for the most liquid stocks. The … relation has roots in fundamentals as higher market risk predicts greater idiosyncratic earnings volatility and as firm …

Since 1965, average idiosyncratic risk (IR) has never been lower than in recent years. In contrast to the high IR in … idiosyncratic risk. Models that use firm characteristics to predict firm-level idiosyncratic risk estimated over 1963-2012 can …

; Spread Decomposition Models ; Adverse Selection Risk …

A conditional asset pricing model with risk and uncertainty implies that the time-varying exposures of equity … portfolios to the market and uncertainty factors carry positive risk premiums. The empirical results from the size, book …-to-market, and industry portfolios as well as individual stocks indicate that the conditional covariances of equity portfolios …

beta contributes to explaining the systematic risk on stock returns. Moreover the return sensitivity to the market …The current study attempts to investigate that the depressed wealth effect of liquidity risk is priced in developed and … depresse wealth risk is sensitive to liquidity measures used in the study. So investors should give practical value to …