Investment, Idiosyncratic Risk, and Ownership

Volume: 67, Issue: 3, Pages: 1113 - 1148
Published: Nov 1, 2011
Abstract
We find a significant negative effect of idiosyncratic stock-return volatility on investment. We address the endogeneity problem of stock return volatility by instrumenting for volatility with a measure of a firm's customer base concentration. We propose that the negative effect of idiosyncratic risk on investment is partly due to managerial risk aversion, and find that the negative relationship between idiosyncratic uncertainty and investment...
Paper Details
Title
Investment, Idiosyncratic Risk, and Ownership
Published Date
Nov 1, 2011
Volume
67
Issue
3
Pages
1113 - 1148
Citation AnalysisPro
  • Scinapse’s Top 10 Citation Journals & Affiliations graph reveals the quality and authenticity of citations received by a paper.
  • Discover whether citations have been inflated due to self-citations, or if citations include institutional bias.