Idiosyncratic Risk and the Cross-Section of Stock Returns: Merton (1987) Meets Miller (1977)

By Rodney D Boehme, Bartley R. Danielsen, Praveen Kumar, Sorin M. Sorescu. 2009

131 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/808a91a7d8a6fbef9d48bf4406ce26f5fa3870aa

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The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

1. Cheol S. Eun
2. Wei Huang

In Economics and Econometrics

1. Cheol S. Eun
2. Wei Huang

In Finance

1. Cheol S. Eun
2. Wei Huang

Citations in the corpus

• Why Does Return Predictability Concentrate in Bad Times (2017, unknown): “Consistent with this explanation, Anderson, Ghysels, and Juergens (2005), Boehme et al. (2009), and Carlin, Longsta↵, and Matoba (2014) find a positive cross-sectional relation between dispersion and future returns in markets that involve low short-selling costs.”
• Asset Pricing in China's Domestic Stock Markets: Is There a Logic? (2007, background): “Boehme et al. (2006b) find that in the presence of short sales constraints, it is the increased analyst dispersion and idiosyncratic volatility that create negative abnormal returns.”