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Idiosyncratic volatility signal and benchmark model

Aggregate Idiosyncratic Volatility

Aggregate Idiosyncratic Volatility

... A5. Idiosyncratic volatility across G7 countries: Hendry regression OLS regressions of aggregate idiosyncratic variances in the G7 countries over 1983-2008, computed using the CLMX model, on ...

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The Determinants of Idiosyncratic Volatility

The Determinants of Idiosyncratic Volatility

... Effect Idiosyncratic Volatility Regressions This table reports coefficient estimates from a fixed-effect regression of the following form: y it = γ i + γ 1 size it + γ 2 turnover it + γ 3 leverage it + γ 4 ...

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Price Momentum and Idiosyncratic Volatility

Price Momentum and Idiosyncratic Volatility

... dynamic model of asymmetric information that shows that “the imperfect information of some investors can cause stock prices to be more volatile than in the case where all investors are perfectly informed” ...his ...

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Aggregate idiosyncratic volatility in G7 countries

Aggregate idiosyncratic volatility in G7 countries

... two-factor model accounts for about 60% of cross-sectional variations in average excess portfolio ...the model and the average realized returns tend to move closely with each other, although there are still ...

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R&D Investments and Idiosyncratic Volatility

R&D Investments and Idiosyncratic Volatility

... on idiosyncratic volatility The above table shows the regression results regarding the relationship between R&D investment intensity and idiosyncratic ...effects model is more fitting than the ...

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Skewness, idiosyncratic volatility and expected returns

Skewness, idiosyncratic volatility and expected returns

... across volatility portfolios. This makes the low returns to highly volatility stocks anomalous, since according to the CAPM they should have higher expected ...three-factor model to explain returns ...

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Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle

Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle

... as idiosyncratic when using just the three Fama-French (FF) factors, the signs of the IVOL effects we observe would ...a model including this factor in addition to the FF factors, the resulting IVOLs have ...

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Idiosyncratic Volatility: Evidence from Asia

Idiosyncratic Volatility: Evidence from Asia

... Pricing Model states that assets can earn only higher returns if they have a high ...that idiosyncratic volatility is useful in explaining the cross-sectional expected ...idiosyncratic ...

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Idiosyncratic volatility, stock market volatility, and expected stock returns

Idiosyncratic volatility, stock market volatility, and expected stock returns

... forecasting model, including “the correct model” considered by these authors, if we assume that the documented predictability is based on a substantial degree of data ...

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Idiosyncratic volatility, Australian stock returns and economy conditions: role of idiosyncratic volatility in asset pricing for Australian stock markets

Idiosyncratic volatility, Australian stock returns and economy conditions: role of idiosyncratic volatility in asset pricing for Australian stock markets

... the idiosyncratic volatility factor is priced for the returns of Australian stocks from 1993 to ...the idiosyncratic volatility remains strong even in the presence of the Fama and French ...

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Is idiosyncratic volatility priced in commodity futures markets?

Is idiosyncratic volatility priced in commodity futures markets?

... past idiosyncratic volatility in commodity futures ...the idiosyncratic volatility of 27 commodity futures contracts with traditional pricing models that fail to account for backwardation and ...

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Idiosyncratic Volatility Matter? New Zealand Evidence

Idiosyncratic Volatility Matter? New Zealand Evidence

... Return, Idiosyncratic Volatility and Firm Size 3.1 Idiosyncratic Volatility and Firm Size We first examine if idiosyncratic volatility for individual stocks is related to firm ...

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Implied idiosyncratic volatility and stock return predictability

Implied idiosyncratic volatility and stock return predictability

... making volatility as an asset class accessible in the form of structured products and certifi- cates for retail ...comparing volatility forecasting performance of two main ap- proaches; historical ...

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Incomplete information and the idiosyncratic foundations of aggregate volatility

Incomplete information and the idiosyncratic foundations of aggregate volatility

... The model presented here goes further than this, however, because firms might also observe the price movements of businesses that are not direct competitors or suppliers in order to learn about factors common to ...

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Idiosyncratic volatility and the pricing of poorly-diversified portfolios

Idiosyncratic volatility and the pricing of poorly-diversified portfolios

... an idiosyncratic risk premium may ...of idiosyncratic volatility (i.e. the price per unit of idiosyncratic risk) should be the same for all portfolios whether they are well diversified or not ...

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A study of idiosyncratic volatility in mutual fund performance

A study of idiosyncratic volatility in mutual fund performance

... factor model aug- mented with the Carhart momentum factor), compared to funds in the lowest quin- tile ...of idiosyncratic volatility, “Perfect Cor- relation Idiosyncratic Volatility” ...

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Idiosyncratic risk and the cross-section of stock returns: the role of mean-reverting idiosyncratic volatility

Idiosyncratic risk and the cross-section of stock returns: the role of mean-reverting idiosyncratic volatility

... Pricing Model (CAPM) is that idiosyncratic risk is not priced by investors because in the absence of frictions it can be fully diversified ...of idiosyncratic risk that is not diversified should be ...

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Patterns and Pricing of Idiosyncratic Volatility in the French Stock Market

Patterns and Pricing of Idiosyncratic Volatility in the French Stock Market

... DOI: 10.4236/tel.2018.81005 93 Theoretical Economics Letters Table 7. Bivariate and multivariate Fama-Macbeth regression results. We perform a firm-level Fama-MacBeth cross-sectional regression of the return on that ...

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The idiosyncratic volatility anomaly : corporate investment or investor mispricing?

The idiosyncratic volatility anomaly : corporate investment or investor mispricing?

... q-factor model using investment and profitability factors to account for the idiosyncratic volatility ...between idiosyncratic risk and expected returns might be related to the management of ...

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Forward premium puzzle and firm-Level idiosyncratic volatility

Forward premium puzzle and firm-Level idiosyncratic volatility

... TED model better explains the excess returns for portfolios HML1 and HML3, whereas the banking sector downside adjusted model does a better job of explaining excess returns in the long portfolio S1, S2, and ...

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