Firm-specific risk and equity market development

• 成果类型: Article
• 署名作者: Brown, Gregory; Kapadia, Nishad
• 署名单位: University of North Carolina; University of North Carolina Chapel Hill
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2006.03.003
• 发表日期: 2007
• 页码: 358-388
• 关键词: Idiosyncratic risk; firm-specific risk; Market risk

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.