Is macroeconomic tail risk contagious to stock idiosyncratic risk?
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DOI: 10.1016/j.frl.2024.105229
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More about this item
Keywords
Macroeconomic tail risk; Idiosyncratic risk; Divergence of opinion; Investor behavior;All these keywords.
JEL classification:
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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