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- W4249889257 abstract "We investigate the effects of several firm characteristics utilized in the recent literature to account for puzzling dynamics of idiosyncratic risk. Our results suggest that these characteristics (book-to-market, leverage, size, institutional ownership, earnings-per-share, and turnover) are able to explain well the differences in idiosyncratic risk across securities. On the other hand, the characteristics appear to be poor predictors of the fluctuations in idiosyncratic risk of a given security over time. About 80% of the securities in our sample do not have a significant relationship between any of the considered characteristics and idiosyncratic risk at security level. These results suggest that firm characteristics can be used in the analysis of the differences in risk across securities, such as portfolio composition. However, the characteristics do not appear useful in the analysis of security risk dynamics, for example, monitoring portfolio risk over time. These conclusions are robust to alternative specifications of idiosyncratic risk, security samples, and time periods." @default.
- W4249889257 created "2022-05-12" @default.
- W4249889257 date "1998-07-01" @default.
- W4249889257 modified "2023-09-30" @default.
- W4249889257 title "The Intra-Uterine Device" @default.
- W4249889257 doi "https://doi.org/10.1016/s0849-5831(16)30809-6" @default.
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