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

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