dc.contributor |
Universitat Rovira i Virgili. Departament d'Economia |
dc.contributor |
Universitat Rovira i Virgili. Centre de Recerca en Economia Industrial i Economia Pública |
dc.contributor.author |
Aslanidis, Nektarios |
dc.contributor.author |
Christiansen, Charlotte |
dc.contributor.author |
Lambertides, Neophytos |
dc.contributor.author |
Savva, Christos S. |
dc.date.accessioned |
2015-02-23T16:41:11Z |
dc.date.available |
2015-02-23T16:41:11Z |
dc.date.created |
2014-11-20 |
dc.date.issued |
2015 |
dc.identifier.uri |
http://hdl.handle.net/2072/246968 |
dc.format.extent |
43 p. |
dc.language.iso |
eng |
dc.publisher |
Universitat Rovira i Virgili. Departament d'Economia |
dc.relation.ispartofseries |
Documents de treball del Departament d'Economia;2015-05 |
dc.rights |
info:eu-repo/semantics/openAccess |
dc.rights |
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/ |
dc.source |
RECERCAT (Dipòsit de la Recerca de Catalunya) |
dc.subject.other |
Mercats financers |
dc.title |
Idiosyncratic Volatility Puzzle: Influence of Macro-Finance Factors |
dc.type |
info:eu-repo/semantics/workingPaper |
dc.subject.udc |
336 - Finances. Banca. Moneda. Borsa |
dc.embargo.terms |
cap |
dc.description.abstract |
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 |