Abstract

https://ssrn.com/abstract=635441
 
 

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Firm-Specific Risk and Equity Market Development


Nishad Kapadia


Tulane University - A.B. Freeman School of Business

Gregory W. Brown


University of North Carolina (UNC) at Chapel Hill - Finance Area

January 2006

Sixteenth Annual Utah Winter Finance Conference

Abstract:     
We examine the increase in firm-specific risk in the U.S. stock market which has been documented by prior research. We show that the observed increase is due solely to 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.

Number of Pages in PDF File: 50

Keywords: Idiosyncratic Risk, Firm-specific Risk, Market Risk

JEL Classification: G11


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Date posted: December 28, 2004  

Suggested Citation

Kapadia, Nishad and Brown, Gregory W., Firm-Specific Risk and Equity Market Development (January 2006). Sixteenth Annual Utah Winter Finance Conference. Available at SSRN: https://ssrn.com/abstract=635441 or http://dx.doi.org/10.2139/ssrn.635441

Contact Information

Nishad Kapadia
Tulane University - A.B. Freeman School of Business ( email )
A.B. Freeman School of Business
7 McAlister Drive
New Orleans, LA 70118
United States
504-314-7454 (Phone)
Gregory W. Brown (Contact Author)
University of North Carolina (UNC) at Chapel Hill - Finance Area ( email )
Kenan-Flagler Business School
Chapel Hill, NC 27599-3490
United States

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