کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
975829 933058 2006 20 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Idiosyncratic volatility, fundamentals, and institutional herding: Evidence from the Japanese stock market
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Idiosyncratic volatility, fundamentals, and institutional herding: Evidence from the Japanese stock market
چکیده انگلیسی

Using Japanese data from 1975 to 2003, we show that both institutional herding and firm earnings are positively related to idiosyncratic volatility. We reject the hypothesis that institutional investors herd toward stocks with high idiosyncratic volatility and systematic risk. Our results suggest that a behavior story may explain the negative premium earned by high idiosyncratic volatility stocks found by Ang et al. [Ang, Andrew, Hodrick, Robert J., Yuhang Xing, Xiaoyan Zhang, 2004. The cross-section of volatility and expected returns, Forthcoming Journal of Finance]. We also find that the dispersions of change in institutional ownership and return-on-asset move together with the market aggregate idiosyncratic volatility over time. Our results suggest that investor behavior and stock fundamentals may both help explain the time-series pattern of market aggregate idiosyncratic volatility.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Pacific-Basin Finance Journal - Volume 14, Issue 2, April 2006, Pages 135–154
نویسندگان
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