Investment, Idiosyncratic Risk, and Ownership
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
Journal
Volume
67
Issue
3
Pages
1113 - 1148
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Notes
History