Idiosyncratic Volatility Puzzle: Influence of Macro-Finance Factors
| Contribuinte(s) |
Universitat Rovira i Virgili. Departament d'Economia Universitat Rovira i Virgili. Centre de Recerca en Economia Industrial i Economia Pública |
|---|---|
| Data(s) |
2015
|
| Resumo |
In this paper, we scrutinize the cross-sectional relation between idiosyncratic volatility and stock returns. As a novelty, the idiosyncratic volatility is obtained by conditioning upon macro-finance factors as well as upon traditional asset pricing factors. The macro-finance factors are constructed from a large pool of macroeconomic and financial variables. Cleaning for macro-finance e§ects reverses the puzzling negative relation between returns and idiosyncratic volatility documented previously. Portfolio analysis shows that the effects from macro-finance factors are economically strong. The relation between idiosyncratic volatility and returns does not vary with the NBER business cycles. The empirical results are highly robust. Keywords: Idiosyncratic volatility puzzle; Macro-finance predictors; Factor analysis; Business cycle. JEL Classifications: G12; G14 |
| Formato |
43 p. |
| Identificador | |
| Idioma(s) |
eng |
| Publicador |
Universitat Rovira i Virgili. Departament d'Economia |
| Relação |
Documents de treball del Departament d'Economia;2015-05 |
| Direitos |
info:eu-repo/semantics/openAccess L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons: http://creativecommons.org/licenses/by-nc-nd/3.0/es/ |
| Fonte |
RECERCAT (Dipòsit de la Recerca de Catalunya) |
| Palavras-Chave | #Mercats financers #336 - Finances. Banca. Moneda. Borsa |
| Tipo |
info:eu-repo/semantics/workingPaper |
