Macroeconomic Risk and Idiosyncratic Risk-taking
Publication in refereed journal

香港中文大學研究人員

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摘要We develop and estimate a dynamic model of risk-shifting over the business cycle. First, equity holders with Epstein-Zin preferences increase their taking of idiosyncratic risk substantially more than the standard model in repeated games, because they perceive the arrival probability of bad states to be higher than the actual probability and prefer an early resolution of macroeconomic uncertainty. Second, sudden switches to bad states and large shocks in the bad states induce the countercyclical and “synchronized” idiosyncratic risk. Third, combined with the high market risk premium in the bad states, clustered risk-taking generates a countercyclical idiosyncratic volatility discount on equity returns.
出版社接受日期08.06.2018
著者Zhiyao Chen, Ilya A. Strebulaev
期刊名稱Review of Financial Studies
出版年份2019
月份3
卷號32
期次3
出版社Oxford University Press
頁次1148 - 1187
國際標準期刊號0893-9454
電子國際標準期刊號1465-7368
語言美式英語

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