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  • Cross–Sectoral Variation in Firm–Level Idiosyncratic Risk 

    Castro, Rui; Clementi, Gian Luca; Lee, Yoonsoo (Université de Montréal. Département de sciences économiques., 2010-10)
    We estimate firm–level idiosyncratic risk in the U.S. manufacturing sector. Our proxy for risk is the volatility of the portion of growth in sales or TFP which is not explained by either industry– or economy–wide factors, or firm characteristics sys ...