---
title: Risk-Shifting & Volatility Puzzle
url: https://www.ml-quant.com/papers/repec/inm-ormnsc-v-67-y-2021-i-5-p-2751-2772/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: RePEc:inm:ormnsc:v:67:y:2021:i:5:p:2751-2772
source_url: https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Fdx.doi.org%2F10.1287%2Fmnsc.2020.3593%3Bh%3Drepec%3Ainm%3Aormnsc%3Av%3A67%3Ay%3A2021%3Ai%3A5%3Ap%3A2751-2772
featured: 2023-07-19
citations: unknown
topic: Derivatives & Volatility
---


# Risk-Shifting & Volatility Puzzle

The research indicates that shareholders face high unique risks when their companies are struggling, resulting in low or negative returns for firms with high unique volatility.

- Source: https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Fdx.doi.org%2F10.1287%2Fmnsc.2020.3593%3Bh%3Drepec%3Ainm%3Aormnsc%3Av%3A67%3Ay%3A2021%3Ai%3A5%3Ap%3A2751-2772
- Identifier: RePEc:inm:ormnsc:v:67:y:2021:i:5:p:2751-2772
- Released: 2021-02-16
- First featured: Quant Letter No. 8 (2023-07-19): https://www.ml-quant.com/issues/2023-07-19/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Derivatives & Volatility

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