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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 poster

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

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