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.
- Language
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Englisch
- Bibliographic citation
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Series: SAFE Working Paper ; No. 228
- Classification
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Wirtschaft
General Financial Markets: General (includes Measurement and Data)
Asset Pricing; Trading Volume; Bond Interest Rates
- Subject
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Idiosyncratic volatility puzzle
Networks
Expected Returns
Granger Causality
- Event
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Geistige Schöpfung
- (who)
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Panzica, Roberto Calogero
- Event
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Veröffentlichung
- (who)
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Goethe University Frankfurt, SAFE - Sustainable Architecture for Finance in Europe
- (where)
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Frankfurt a. M.
- (when)
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2018
- DOI
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doi:10.2139/ssrn.3240484
- Handle
- URN
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urn:nbn:de:hebis:30:3-472406
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Panzica, Roberto Calogero
- Goethe University Frankfurt, SAFE - Sustainable Architecture for Finance in Europe
Time of origin
- 2018
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