کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5088374 1478315 2015 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The idiosyncratic volatility anomaly: Corporate investment or investor mispricing?
ترجمه فارسی عنوان
ناهنجاری نوسانات فردی: سرمایه گذاری شرکت یا سرمایه گذار غلط؟
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی

Most of the literature on the idiosyncratic volatility anomaly has focused on plausible explanations for it based on investor preferences, investor irrationality or market characteristics. Surprisingly, the role of asset-pricing models and firm characteristics in the estimation of idiosyncratic risk measures has been largely neglected. Our results suggest that investment and profitability, presumably driven by managers and therefore linked to idiosyncratic risk, are able to account for the anomaly in a cross-section of stock returns. Moreover, we show that this effect is independent and complementary to the effects related to investor preference for skewness.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 60, November 2015, Pages 224-238
نویسندگان
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