کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
959688 929350 2016 35 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The common factor in idiosyncratic volatility: Quantitative asset pricing implications
ترجمه فارسی عنوان
عامل مشترک در نوسانات ویژه: مفاهیم قیمت گذاری دارایی کمی
کلمات کلیدی
نوسانات شرکت؛ ریسک ویژه؛ مقطع بازده سهام
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری حسابداری
چکیده انگلیسی

We show that firms׳ idiosyncratic volatility obeys a strong factor structure and that shocks to the common idiosyncratic volatility (CIV) factor are priced. Stocks in the lowest CIV-beta quintile earn average returns 5.4% per year higher than those in the highest quintile. The CIV factor helps to explain a number of asset pricing anomalies. We provide new evidence linking the CIV factor to income risk faced by households. Our findings are consistent with an incomplete markets heterogeneous agent model. In the model, CIV is a priced state variable because an increase in idiosyncratic firm volatility raises the average household׳s marginal utility. The calibrated model matches the high degree of co-movement in idiosyncratic volatilities, the CIV-beta return spread, and several other asset price moments.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Economics - Volume 119, Issue 2, February 2016, Pages 249–283
نویسندگان
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