Strategic Risk Shifting and the Idiosyncratic Volatility Puzzle: An Empirical Investigation
研究发现，企业困境时股东会战略性地增加特质风险，导致股权贝塔下降，尤其在市场风险溢价高的坏状态下，这解释了特质波动率与未来股票收益的负相关关系。
We find strong empirical support for the risk-shifting mechanism to account for the puzzling negative relation between idiosyncratic volatility and future stock returns. First, equity holders take on investments with high idiosyncratic risk when their firms are in distress and receive less monitoring from institutional holders as well as when the aggregate economy is in a bad state. Second, the strategically increased idiosyncratic volatility decreases equity betas, particularly in bad states when the market risk premium is high. The negative covariance between the equity beta and the market risk premium causes low and negative returns and alphas in firms with high idiosyncratic volatility. This paper was accepted by Tomasz Piskorski, finance.