A Time-Varying Premium for Idiosyncratic Risk: Its Effects on the Cross-Section of Stock Returns
abstract: Merton (1987) predicts that idiosyncratic risk can be priced. I develop a simple equilibrium model of capital markets with information costs in which the idiosyncratic risk premium depends on the average level of idiosyncratic volatility. This dependence suggests that the idiosyncratic ris...
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| Format: | Doctoral Thesis |
| Language: | English |
| Published: |
2015
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| Online Access: | http://hdl.handle.net/2286/R.I.29715 |