Idiosyncratic Risks in Different Regimes and The Cross-section of Expected Stock Returns

Authors

Presenter(s)

Ziqi Qiao

Files

Description

Grounded in a behavior finance argument, I reexamine the relation between idiosyncratic risks and the cross-section of expected stock returns by taking regime shifts into consideration. I find that there are significant regime shifts over a long time horizon and that regime shifts do influence the relation between idiosyncratic risks and cross-section of expected stock returns.

Publication Date

4-18-2012

Project Designation

Graduate Research

Primary Advisor

Rong-Chin C. Chen

Primary Advisor's Department

Economics and Finance

Keywords

Stander Symposium project

Recommended Citation

"Idiosyncratic Risks in Different Regimes and The Cross-section of Expected Stock Returns" (2012). Stander Symposium Projects. 137.
https://ecommons.udayton.edu/stander_posters/137