The international price of idiosyncratic risk
Mohamed Arouri ()
Economics Bulletin, 2008, vol. 28, issue 4, A0
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)
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Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-08aa0009
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