Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1003074 | Research in International Business and Finance | 2016 | 13 Pages |
Abstract
This paper examines the association between idiosyncratic volatility and stock returns in the MILA from 2001 to 2014. Based on portfolio strategies that rely on one- or two-way sorts, we find that idiosyncratic risk is not a predictor of returns in the whole period or during high or low volatility months in the integrated market. We confirm the lack of an idiosyncratic volatility effect in a multivariate setting conducting errors-in-variables-free panel regressions. Overall, unsystematic risk is not a priced factor in the MILA, in line with predictions of several pricing models and recent literature in the U.S. market.
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Related Topics
Social Sciences and Humanities
Business, Management and Accounting
Business and International Management
Authors
Luis Berggrun, Edmundo Lizarzaburu, Emilio Cardona,