Herding effect on idiosyncratic volatility in U.S. industries
Sign Up to like & getrecommendations! Published in 2017 at "Finance Research Letters"
DOI: 10.1016/j.frl.2017.03.001
Abstract: This paper investigates the effect of herding behavior on excessive market idiosyncratic volatility in the U.S. stock market at a sectoral level. We carefully modify the cross sectional absolute deviation model to include trading volume… read more here.
Keywords: herding effect; volatility; idiosyncratic volatility; effect ... See more keywords
Risk appetite, idiosyncratic volatility and expected returns
Sign Up to like & getrecommendations! Published in 2019 at "International Review of Financial Analysis"
DOI: 10.1016/j.irfa.2019.101372
Abstract: Abstract This paper examines the variations in idiosyncratic volatility in stock returns over time, and evaluates the role of investor sentiment in explaining these variations. This study uses Fama and French's (2015) 5-factor model to… read more here.
Keywords: appetite idiosyncratic; risk appetite; volatility; volatility expected ... See more keywords
Does idiosyncratic volatility matter? — Evidence from Chinese stock market
Sign Up to like & getrecommendations! Published in 2019 at "Physica A: Statistical Mechanics and its Applications"
DOI: 10.1016/j.physa.2018.09.184
Abstract: Is idiosyncratic volatility priced? The existing literature finds conflicting results on the cross-sectional relation between expected returns and idiosyncratic volatility. This paper examines the relation between idiosyncratic volatility and expected returns in Chinese Stock Market.… read more here.
Keywords: idiosyncratic volatility; chinese stock; volatility; stock market ... See more keywords
Will firm quality determine the relationship between stock return and idiosyncratic volatility? A new investigation of idiosyncratic volatility
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Asset Management"
DOI: 10.1057/s41260-017-0044-9
Abstract: Idiosyncratic volatility generates a lot of interest in literature, as there are conflicting evidences regarding the relationship between stocks’ idiosyncratic volatility and future returns. In this paper, we re-investigate this relationship. We argue that the… read more here.
Keywords: quality; volatility; idiosyncratic volatility; stock return ... See more keywords
Bank-appointed directors and idiosyncratic volatility: evidence from India
Sign Up to like & getrecommendations! Published in 2021 at "International Journal of Managerial Finance"
DOI: 10.1108/ijmf-06-2020-0270
Abstract: PurposeThe purpose of this paper is to empirically examine the impact of the bank-appointed directors on the agency costs of debt by using the idiosyncratic risk of stock returns as a measure of agency costs… read more here.
Keywords: bank; bank appointed; appointed directors; idiosyncratic volatility ... See more keywords