Idiosyncratic Risk Innovations and the Idiosyncratic Risk-Return Relation
In: Review of Asset Pricing Studies, 2016, Volume 6, Issue 2, 303-328
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In: Review of Asset Pricing Studies, 2016, Volume 6, Issue 2, 303-328
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In: The Greek Economy and the Crisis, S. 157-191
In: The Bell journal of economics, Band 14, Heft 2, S. 338
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In: Journal of property research, Band 26, Heft 4, S. 349-366
ISSN: 1466-4453
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In: Administrative science quarterly: ASQ ; dedicated to advancing the understanding of administration through empirical investigation and theoretical analysis, Band 32, Heft Sep 87
ISSN: 0001-8392
In: 29th Australasian Finance and Banking Conference 2016
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In: Review of Financial Economics, Forthcoming
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In: Review of financial economics: RFE, Band 35, Heft 1, S. 11-28
ISSN: 1873-5924
AbstractWe suggest that price interaction among stocks is an important determinant of idiosyncratic volatility. We demonstrate that as more (less) stocks are listed in the markets, price interaction among stocks increases (decreases), and hence stocks, on average, become more (less) volatile. Our results show that price interaction has a significant positive effect of idiosyncratic volatility. The results of various robustness checks indicate that the effect of price interaction is still significant to the presence of liquidity, newly listed firms, cash flow variables, business cycle variables, and market volatility. Once the price interaction effect is taken into account, no trend remains in idiosyncratic volatility. We conclude that there is no trend, but a reflection of the positive effect of price interaction on idiosyncratic volatility.
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In: FEDS Notes No. 2020-03-05 https://doi.org/10.17016/2380-7172.2508
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