Is idiosyncratic risk conditionally priced?

DOI10.3982/QE1528zbMATH Open1474.91224OpenAlexW3124495839MaRDI QIDQ5164497FDOQ5164497

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

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zbMATH Keywords

factor modelsidiosyncratic riskrisk premium asset pricing

Mathematics Subject Classification ID

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

Cited In (4)

• Idiosyncratic risk and the cross-section of stock returns: the role of mean-reverting idiosyncratic volatility
• Idiosyncratic risk and the equity premium
• On the pricing of expected idiosyncratic skewness
• Segmentation and beliefs: a theory of self-fulfilling idiosyncratic risk

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