Arbeitspapier
Idiosyncratic volatility puzzle: The role of assets' interconnections
The paper investigates the determinants of the idiosyncratic volatility puzzle by allowing linkages across asset returns. The first contribution of the paper is to show that portfolios sorted by increasing indegree computed on the network based on Granger causality test have lower expected returns, not related to idiosyncratic volatility. Secondly, empirical evidence indicates that stocks with higher idiosyncratic volatility have the lower exposition on the indegree risk factor.
- Sprache
-
Englisch
- Erschienen in
-
Series: SAFE Working Paper ; No. 228
Klassifikation
Wirtschaft
General Financial Markets: General (includes Measurement and Data)
Asset Pricing; Trading Volume; Bond Interest Rates
General Financial Markets: General (includes Measurement and Data)
Asset Pricing; Trading Volume; Bond Interest Rates
Thema
Idiosyncratic volatility puzzle
Networks
Expected Returns
Granger Causality
Networks
Expected Returns
Granger Causality
Ereignis
Geistige Schöpfung
(wer)
Panzica, Roberto Calogero
Ereignis
Veröffentlichung
(wer)
Goethe University Frankfurt, SAFE - Sustainable Architecture for Finance in Europe
(wo)
Frankfurt a. M.
(wann)
2018
- DOI
-
doi:10.2139/ssrn.3240484
- Handle
- URN
-
urn:nbn:de:hebis:30:3-472406
- Letzte Aktualisierung
-
20.09.2024, 08:23 MESZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Panzica, Roberto Calogero
- Goethe University Frankfurt, SAFE - Sustainable Architecture for Finance in Europe
Entstanden
- 2018
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