When Does Idiosyncratic Risk Really Matter

By Tony Ruan, Qian Sun, Yexiao Xu. 2009

160 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/4bce628e54caeddd4db71eb4aea3a3d23af4e5a7

Citations in the corpus

• Cyclicality in Catastrophic and Operational Risk Measurements (2007, unknown): “…are measured by the 10% left tail of the empirical distribution of stock returns r. Campbell et al. (2001), Goyal and Santa-Clara (2003), and Bali et al. (2005) measure average stock risk and average idiosyncratic risk in each month as the cross-sectional equal-weighted or value-weighted…”