کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7355722 1477897 2018 34 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Idiosyncratic volatility and cash flow volatility: New evidence from S&P 500
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Idiosyncratic volatility and cash flow volatility: New evidence from S&P 500
چکیده انگلیسی
Employing firm-level data of S&P 500 constituent companies from 1990 to 2016, we offer new evidence on the strong time series and cross-sectional relationships between Idiosyncratic stock return volatility (Ivol) and cash flow volatility even after controlling for illiquidity and firm size, which also vary by period of economic condition. Our results show that Ivol is well explained by the volatility of the three components of DuPont ROE. Aggregate asset turnover volatility alone explains 81.8% of the time series variation of aggregate Ivol, and all independent variables explain 94.7% of the aggregate Ivol. While profit margin volatility and asset turnover volatility have significant relationships with Ivol during the sample period, the volatility of equity multiplier shows significance during the two recession periods in early and late 2000s.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 56, March 2018, Pages 127-135
نویسندگان
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