; Spread Decomposition Models ; Adverse Selection Risk …

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 …

REITs' idiosyncratic risk and their cross-sectional expected returns between 1981 and 2010. In addition to the full sample … models. Overall, we document a negative relation between idiosyncratic risk and cross-sectional expected returns and …

analyse the complete tail risk connectedness network of the whole US industry system. We also investigate the empirical … relationship between input-output linkages and the tail risk spillovers among US industries. Our findings identify the tail-risk … drivers, tail-risk takers, and tail-risk distributors among industries and confirm that the actual trade flow between …

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, it is strong for the most liquid stocks. The relation … has roots in fundamentals. Higher market risk predicts greater idiosyncratic earnings volatility as well as dispersion and …

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 …

This paper assesses liquidity risk for the United States (U.S.) bond mutual funds industry and performs a range of …