The Breakdown of Idiosyncratic Volatility Into Expected and Unexpected Components and Its Effects on Stock Returns in Brazil
Based on studies of idiosyncratic volatility developed in the recent literature, this study analyzes its relation with expected returns through the breakdown of idiosyncratic volatility in the Brazilian stock market and presents evidence of the importance of expected idiosyncratic volatility for ass...
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| Veröffentlicht in: | Latin American business review (Binghamton, N.Y.) N.Y.), 2012-10, Vol.13 (4), p.311-328 |
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| container_end_page | 328 |
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| container_issue | 4 |
| container_start_page | 311 |
| container_title | Latin American business review (Binghamton, N.Y.) |
| container_volume | 13 |
| creator | da Silva, Raphael Braga Bressane, Bernardo Prôa Viola, Alessandra Pasqualina Klotzle, Marcelo Cabus Pinto, Antonio Carlos Figueiredo de Macedo Soares, T. Diana L. van Aduard |
| description | Based on studies of idiosyncratic volatility developed in the recent literature, this study analyzes its relation with expected returns through the breakdown of idiosyncratic volatility in the Brazilian stock market and presents evidence of the importance of expected idiosyncratic volatility for asset pricing. We study the impact of the expected and unexpected components of idiosyncratic volatility on the returns of shares listed on the BOVESPA between 2004 and 2011. The results show a strong positive and significant relation between expected idiosyncratic volatility and returns. This evidence is highlighted when we use unexpected idiosyncratic volatility to control for unexpected returns. Additional robustness tests, controlling for size and momentum effects, also have positive and significant coefficients, corroborating previous findings. |
| doi_str_mv | 10.1080/10978526.2012.749109 |
| format | Article |
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Additional robustness tests, controlling for size and momentum effects, also have positive and significant coefficients, corroborating previous findings.</description><subject>Asset pricing</subject><subject>Brazil</subject><subject>Coefficients</subject><subject>expected idiosyncratic volatility</subject><subject>Expected returns</subject><subject>idiosyncratic volatility</subject><subject>Market share</subject><subject>Securities markets</subject><subject>Stock exchange</subject><subject>Stock returns</subject><subject>Studies</subject><subject>unexpected idiosyncratic volatility</subject><subject>unexpected returns</subject><subject>Volatility</subject><issn>1097-8526</issn><issn>1528-6932</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2012</creationdate><recordtype>article</recordtype><recordid>eNp9kU9rGzEQxZeSQp2036AHQS65rDOSvFrtqbTGSQ2GQvPnKmTtiCheS44k4zj0w1eOm0sPOb0ZzW-eBl5VfaUwpiDhkkLXyoaJMQPKxu2kKw8fqhFtmKxFx9lJqQtSH5hP1WlKjwBUCilH1Z_bByQ_IupVH3aeBEvmvQtp703U2RlyH4aig8t7Mvc5kNnzBk3GnmjfkzuPb-00rDfBo8_pdTIvOrO2zBIJntzkYFbkN-Zt9Ik4X37UL274XH20ekj45Z-eVXdXs9vpz3rx63o-_b6oDRM81w2X2jQcUUiGvdCmE0tjUQPVrBGmAbFsJbZLYJK23ZJCa9EazkBPJFpg_Ky6OPpuYnjaYspq7ZLBYdAewzYpyiQD3hWzgp7_hz6GcnS5rlC8AylBNoWaHCkTQ0oRrdpEt9ZxryioQyTqLRJ1iEQdIylr345rztsQ13oX4tCrrPdDiDZqb1xS_F2Hv2Yfkzw</recordid><startdate>201210</startdate><enddate>201210</enddate><creator>da Silva, Raphael Braga</creator><creator>Bressane, Bernardo Prôa</creator><creator>Viola, Alessandra Pasqualina</creator><creator>Klotzle, Marcelo Cabus</creator><creator>Pinto, Antonio Carlos Figueiredo</creator><creator>de Macedo Soares, T. Diana L. van Aduard</creator><general>Taylor & Francis Group</general><general>Taylor & Francis Ltd</general><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>201210</creationdate><title>The Breakdown of Idiosyncratic Volatility Into Expected and Unexpected Components and Its Effects on Stock Returns in Brazil</title><author>da Silva, Raphael Braga ; Bressane, Bernardo Prôa ; Viola, Alessandra Pasqualina ; Klotzle, Marcelo Cabus ; Pinto, Antonio Carlos Figueiredo ; de Macedo Soares, T. 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Diana L. van Aduard</creatorcontrib><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>Latin American business review (Binghamton, N.Y.)</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>da Silva, Raphael Braga</au><au>Bressane, Bernardo Prôa</au><au>Viola, Alessandra Pasqualina</au><au>Klotzle, Marcelo Cabus</au><au>Pinto, Antonio Carlos Figueiredo</au><au>de Macedo Soares, T. Diana L. van Aduard</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>The Breakdown of Idiosyncratic Volatility Into Expected and Unexpected Components and Its Effects on Stock Returns in Brazil</atitle><jtitle>Latin American business review (Binghamton, N.Y.)</jtitle><date>2012-10</date><risdate>2012</risdate><volume>13</volume><issue>4</issue><spage>311</spage><epage>328</epage><pages>311-328</pages><issn>1097-8526</issn><eissn>1528-6932</eissn><abstract>Based on studies of idiosyncratic volatility developed in the recent literature, this study analyzes its relation with expected returns through the breakdown of idiosyncratic volatility in the Brazilian stock market and presents evidence of the importance of expected idiosyncratic volatility for asset pricing. We study the impact of the expected and unexpected components of idiosyncratic volatility on the returns of shares listed on the BOVESPA between 2004 and 2011. The results show a strong positive and significant relation between expected idiosyncratic volatility and returns. This evidence is highlighted when we use unexpected idiosyncratic volatility to control for unexpected returns. Additional robustness tests, controlling for size and momentum effects, also have positive and significant coefficients, corroborating previous findings.</abstract><cop>Abingdon</cop><pub>Taylor & Francis Group</pub><doi>10.1080/10978526.2012.749109</doi><tpages>18</tpages></addata></record> |
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| ispartof | Latin American business review (Binghamton, N.Y.), 2012-10, Vol.13 (4), p.311-328 |
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| language | eng |
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| source | Business Source Complete |
| subjects | Asset pricing Brazil Coefficients expected idiosyncratic volatility Expected returns idiosyncratic volatility Market share Securities markets Stock exchange Stock returns Studies unexpected idiosyncratic volatility unexpected returns Volatility |
| title | The Breakdown of Idiosyncratic Volatility Into Expected and Unexpected Components and Its Effects on Stock Returns in Brazil |
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