Sökning: "Idiosyncratic volatility puzzle"

Hittade 4 uppsatser innehållade orden Idiosyncratic volatility puzzle.

  1. 1. Revisiting the Idiosyncratic Volatility Puzzle and MAX Effect in European Equity Markets

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :David Böckling; Jurgis Druktenis; [2023]
    Nyckelord :Idiosyncratic volatility; Fama-French three-factor model; MAX effect; European equity markets; Asset pricing anomalies;

    Sammanfattning : In light of traditional financial theory's argument that firm-specific risk should not impact future returns, the findings of the Idiosyncratic Volatility (IVOL) puzzle, as well as the Maximum Daily Returns (MAX) effect, have sparked a vibrant academic debate. Using data from January, 1993, to December, 2022, this paper presents European aggregate and country-level evidence at the intersection between the two asset pricing anomalies. LÄS MER

  3. 2. Quality's relationship to the idiosyncratic volatility puzzle

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Carl Johan Ingvarsson; [2020]
    Nyckelord :Idiosyncratic volatility puzzle; quality; portfolio performance; cross-sectional of returns.; Business and Economics;

    Sammanfattning : This paper examines the well documented relationship between idiosyncratic volatility and mean returns. By using the recently published quality-minus-junk factor this paper attempts to explain both the abnormal performance of portfolios sorted on idiosyncratic volatility as well as the crosssectional pricing of idiosyncratic volatility. LÄS MER

  4. 3. Idiosyncratic Risk and Expected Stock Returns: An Empirical Investigation on the GIPS Countries

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Nadir Luvisotti; [2013]
    Nyckelord :Idiosyncratic Risk; CAPM; Fama-French three factor model; GIPS equity markets;

    Sammanfattning : The thesis aims to provide a framework for understanding how the idiosyncratic risk (IVOL) may affect the returns of individual stocks in the context of the Capital Asset Pricing Model and the Fama-French three factor model. We examine the Greek, Italian, Portuguese and Spanish (GIPS) Equity Markets. LÄS MER

  5. 4. The Idiosyncratic Volatility Puzzle: Further Evidence from the European Equity Market

    Magister-uppsats, Lunds universitet/Företagsekonomiska institutionen

    Författare :Johan Wessman; Erik Rostedt; [2011]
    Nyckelord :Market anomaly; idiosyncratic volatility; asymmetric volatility; asset pricing; panel data; Management of enterprises; Företagsledning; management; Business and Economics;

    Sammanfattning : We do not find clear evidence of an idiosyncratic volatility puzzle on the three markets. Our models are inconclusive with a negative risk premium for the time series portfolio based regression model while the premium is positive in the panel data model. LÄS MER