Is idiosyncratic risk conditionally priced?

DOI10.3982/QE1528MaRDI QIDQ5164497zbMATHOpenAlexFDO

Authors Rajnish Mehra, Sunil Wahal, Daruo Xie

Publication date 11 November 2021

Published in Quantitative Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3982/qe1528

zbMATH Keywords

factor modelsidiosyncratic riskrisk premium asset pricing

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

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