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Title:
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Idiosyncratic Volatility Puzzle: Influence of Macro-Finance Factors
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Author:
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Aslanidis, Nektarios; Christiansen, Charlotte; Lambertides, Neophytos; Savva, Christos S.
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Other authors:
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Universitat Rovira i Virgili. Departament d'Economia; Universitat Rovira i Virgili. Centre de Recerca en Economia Industrial i Economia Pública |
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Abstract:
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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 |
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Publication date:
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2015 |
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Subject (UDC):
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336 - Finances. Banca. Moneda. Borsa |
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Subject(s):
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Mercats financers |
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Rights:
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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/ |
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Pages:
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43 p. |
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Document type:
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Working Paper |
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Published by:
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Universitat Rovira i Virgili. Departament d'Economia
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Collection:
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Documents de treball del Departament d'Economia;2015-05
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