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
Hauptverfasser:	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
Format:	Artikel
Sprache:	eng
Schlagworte:	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
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