EconPapers    
Economics at your fingertips  
 

The international price of idiosyncratic risk

Mohamed Arouri ()

Economics Bulletin, 2008, vol. 28, issue 4, A0

Abstract: The aim of this paper is to investigate whether the idiosyncratic risk is remunerated in the mean-variance asset pricing approach. Our theoretical and empirical results show that idiosyncratic risk is internationally priced and its price is time varying.

JEL-codes: D4 F3 (search for similar items in EconPapers)
Date: 2008-03-16
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.accessecon.com/pubs/EB/2008/Volume28/EB-08AA0009A.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-08aa0009

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().

 
Page updated 2021-06-04
Handle: RePEc:ebl:ecbull:eb-08aa0009