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AROURI Mohamed
''The international price of idiosyncratic risk''
( 2008, Vol. 28 No.4 )
The aim of this paper is to investigate whether the idiosyncratic risk is remunerated in the mean-variance asset pricing approach. Our theoretical and empirical results show that idiosyncratic risk is internationally priced and its price is time varying.
Manuscript Received : Mar 13 2008 Manuscript Accepted : Mar 16 2008

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