Firm-specific risk and equity market development

被引：178

作者：

Brown, Gregory ^{[1
]}

Kapadia, Nishad ^{[1
]}

机构：

[1] Univ N Carolina, Kenan Flagler Business Sch, Chapel Hill, NC 27599 USA

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2007年 / 84卷 / 02期

关键词：

idiosyncratic risk; firm-specific risk; market risk;

D O I：

10.1016/j.jfineco.2006.03.003

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We show that the increase in firm-specific risk in the US stock market is the result of new listings by riskier companies. In addition, our results explain why prior researchers have found that growth opportunities, profit margin, firm size, and industry composition (among other factors) are related to increases in firm-specific risk. The new listing effect is not driven by small companies becoming riskier but instead by a riskier sub-sample of the economy becoming publicly traded. These results are consistent with prior research that documents time trends in financial market development. (c) 2006 Elsevier B.V. All rights reserved.

引用

页码：358 / 388

页数：31

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