Bartram, Söhnke M.
[VerfasserIn]
;
Brown, Gregory W.
[Sonstige Person, Familie und Körperschaft];
Waller, William
[Sonstige Person, Familie und Körperschaft]
Erschienen in:AFA 2009 San Francisco Meetings Paper
Umfang:
1 Online-Ressource (79 p)
Sprache:
Nicht zu entscheiden
DOI:
10.2139/ssrn.1031910
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 25, 2013 erstellt
Beschreibung:
We explore the determinants of equity price risk for a large sample of non-financial corporations. By estimating both cross-sectional and time-series models, we show that operating and asset characteristics are by far the most important determinants of equity price risk. In contrast, for the average (median) firm, financial risk accounts for less than a third (15%) of observed stock price volatility. This explains why financial distress (as opposed to economic distress) was surprisingly uncommon in the nonfinancial sector during the recent crisis even as measures of equity volatility reached unprecedented highs