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| AROURI Mohamed |
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| ''The international price of idiosyncratic risk'' |
| ( 2008, Vol. 28 No.4 ) |
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| 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. |
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| Manuscript Received : Mar 13 2008 | | Manuscript Accepted : Mar 16 2008 |
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