Idiosyncratic volatility and stock returns: a cross country analysis
Empirical evidences regarding the association of idiosyncratic volatility and stock returns are inconsistent with the Capital Asset Pricing Model (CAPM), which implies that idiosyncratic risk should not be priced because it would be fully eliminated through diversification. Using Exponential General...
Gespeichert in:
| Veröffentlicht in: | Applied financial economics 2009-08, Vol.19 (16), p.1269-1281 |
|---|---|
| Hauptverfasser: | , |
| Format: | Artikel |
| Sprache: | eng |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| container_end_page | 1281 |
|---|---|
| container_issue | 16 |
| container_start_page | 1269 |
| container_title | Applied financial economics |
| container_volume | 19 |
| creator | Pukthuanthong-Le, Kuntara Visaltanachoti, Nuttawat |
| description | Empirical evidences regarding the association of idiosyncratic volatility and stock returns are inconsistent with the Capital Asset Pricing Model (CAPM), which implies that idiosyncratic risk should not be priced because it would be fully eliminated through diversification. Using Exponential Generalized Autoregressive Conditional Heteroscedasticity (EGARCH) estimated conditional idiosyncratic volatility of individual stocks across 36 countries from 1973 to 2007, we find that idiosyncratic risk is priced on a significantly positive risk premium for stock returns. The evidence is statistically and economically significant. It overwhelmingly supports the prediction of existing theories that idiosyncratic risk is positively related to expected returns. |
| doi_str_mv | 10.1080/09603100802534297 |
| format | Article |
| fullrecord | <record><control><sourceid>proquest_repec</sourceid><recordid>TN_cdi_proquest_miscellaneous_745640624</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><sourcerecordid>745640624</sourcerecordid><originalsourceid>FETCH-LOGICAL-c483t-525e1bea09ef776fe42cd72123acf6aa122f8daa5fa4fd268f12a4dac9c7debf3</originalsourceid><addsrcrecordid>eNqFkU2P1DAMhiMEEsPAD-BWcYBTIU7SpEVc0PK10iIucI68aSKydJqSZBb673EZxIGVlkNsy3neV7HD2GPgz4H3_AUfNJfAqRSdVGIwd9gOlNatkry7y3bbfUuAuc8elHLFOYhew469OR9jKuvsMtbomus0UZ5iXRucx6bU5L412ddjnsvLBhuXUymNS8e55g3BaS2xPGT3Ak7FP_qT9-zLu7efzz60F5_en5-9vmid6mVtO9F5uPTIBx-M0cEr4UYjQEh0QSOCEKEfEbuAKoxC9wEEqhHd4MzoL4Pcs2cn3yWn70dfqj3E4vw04ezTsVijOq24ForIp7eS0oA0g9QEPvkHvEo0LE1hYTDQKyBsz-AE_R4_-2CXHA-YVwvcbuu3N9ZPmo8nTfaLd38FFQMuIVLn2kqEgcJKR3C-lXHraQrLVgg9WPomsF_rgfxenfziHFI-4I-Up5Hs1inlkHF2kaa67Tnmv_IbKlt_VvkLEhe3ZA</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>197184179</pqid></control><display><type>article</type><title>Idiosyncratic volatility and stock returns: a cross country analysis</title><source>RePEc</source><source>EBSCO Business Source Complete</source><creator>Pukthuanthong-Le, Kuntara ; Visaltanachoti, Nuttawat</creator><creatorcontrib>Pukthuanthong-Le, Kuntara ; Visaltanachoti, Nuttawat</creatorcontrib><description>Empirical evidences regarding the association of idiosyncratic volatility and stock returns are inconsistent with the Capital Asset Pricing Model (CAPM), which implies that idiosyncratic risk should not be priced because it would be fully eliminated through diversification. Using Exponential Generalized Autoregressive Conditional Heteroscedasticity (EGARCH) estimated conditional idiosyncratic volatility of individual stocks across 36 countries from 1973 to 2007, we find that idiosyncratic risk is priced on a significantly positive risk premium for stock returns. The evidence is statistically and economically significant. It overwhelmingly supports the prediction of existing theories that idiosyncratic risk is positively related to expected returns.</description><identifier>ISSN: 0960-3107</identifier><identifier>EISSN: 1466-4305</identifier><identifier>DOI: 10.1080/09603100802534297</identifier><language>eng</language><publisher>London: Routledge</publisher><subject>Asset pricing ; Capital assets ; CAPM ; Financial economics ; GARCH models ; Rates of return ; Risk premiums ; Stochastic models ; Stock returns ; Studies ; Volatility</subject><ispartof>Applied financial economics, 2009-08, Vol.19 (16), p.1269-1281</ispartof><rights>Copyright Taylor & Francis Group, LLC 2009</rights><rights>Copyright Routledge Aug 2009</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c483t-525e1bea09ef776fe42cd72123acf6aa122f8daa5fa4fd268f12a4dac9c7debf3</citedby><cites>FETCH-LOGICAL-c483t-525e1bea09ef776fe42cd72123acf6aa122f8daa5fa4fd268f12a4dac9c7debf3</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><link.rule.ids>314,776,780,3994,27901,27902</link.rule.ids><backlink>$$Uhttp://econpapers.repec.org/article/tafapfiec/v_3a19_3ay_3a2009_3ai_3a16_3ap_3a1269-1281.htm$$DView record in RePEc$$Hfree_for_read</backlink></links><search><creatorcontrib>Pukthuanthong-Le, Kuntara</creatorcontrib><creatorcontrib>Visaltanachoti, Nuttawat</creatorcontrib><title>Idiosyncratic volatility and stock returns: a cross country analysis</title><title>Applied financial economics</title><description>Empirical evidences regarding the association of idiosyncratic volatility and stock returns are inconsistent with the Capital Asset Pricing Model (CAPM), which implies that idiosyncratic risk should not be priced because it would be fully eliminated through diversification. Using Exponential Generalized Autoregressive Conditional Heteroscedasticity (EGARCH) estimated conditional idiosyncratic volatility of individual stocks across 36 countries from 1973 to 2007, we find that idiosyncratic risk is priced on a significantly positive risk premium for stock returns. The evidence is statistically and economically significant. It overwhelmingly supports the prediction of existing theories that idiosyncratic risk is positively related to expected returns.</description><subject>Asset pricing</subject><subject>Capital assets</subject><subject>CAPM</subject><subject>Financial economics</subject><subject>GARCH models</subject><subject>Rates of return</subject><subject>Risk premiums</subject><subject>Stochastic models</subject><subject>Stock returns</subject><subject>Studies</subject><subject>Volatility</subject><issn>0960-3107</issn><issn>1466-4305</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2009</creationdate><recordtype>article</recordtype><sourceid>X2L</sourceid><recordid>eNqFkU2P1DAMhiMEEsPAD-BWcYBTIU7SpEVc0PK10iIucI68aSKydJqSZBb673EZxIGVlkNsy3neV7HD2GPgz4H3_AUfNJfAqRSdVGIwd9gOlNatkry7y3bbfUuAuc8elHLFOYhew469OR9jKuvsMtbomus0UZ5iXRucx6bU5L412ddjnsvLBhuXUymNS8e55g3BaS2xPGT3Ak7FP_qT9-zLu7efzz60F5_en5-9vmid6mVtO9F5uPTIBx-M0cEr4UYjQEh0QSOCEKEfEbuAKoxC9wEEqhHd4MzoL4Pcs2cn3yWn70dfqj3E4vw04ezTsVijOq24ForIp7eS0oA0g9QEPvkHvEo0LE1hYTDQKyBsz-AE_R4_-2CXHA-YVwvcbuu3N9ZPmo8nTfaLd38FFQMuIVLn2kqEgcJKR3C-lXHraQrLVgg9WPomsF_rgfxenfziHFI-4I-Up5Hs1inlkHF2kaa67Tnmv_IbKlt_VvkLEhe3ZA</recordid><startdate>200908</startdate><enddate>200908</enddate><creator>Pukthuanthong-Le, Kuntara</creator><creator>Visaltanachoti, Nuttawat</creator><general>Routledge</general><general>Taylor and Francis Journals</general><general>Routledge, Taylor & Francis Group</general><scope>DKI</scope><scope>X2L</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope><scope>7U1</scope><scope>7U2</scope><scope>C1K</scope></search><sort><creationdate>200908</creationdate><title>Idiosyncratic volatility and stock returns: a cross country analysis</title><author>Pukthuanthong-Le, Kuntara ; Visaltanachoti, Nuttawat</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c483t-525e1bea09ef776fe42cd72123acf6aa122f8daa5fa4fd268f12a4dac9c7debf3</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2009</creationdate><topic>Asset pricing</topic><topic>Capital assets</topic><topic>CAPM</topic><topic>Financial economics</topic><topic>GARCH models</topic><topic>Rates of return</topic><topic>Risk premiums</topic><topic>Stochastic models</topic><topic>Stock returns</topic><topic>Studies</topic><topic>Volatility</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Pukthuanthong-Le, Kuntara</creatorcontrib><creatorcontrib>Visaltanachoti, Nuttawat</creatorcontrib><collection>RePEc IDEAS</collection><collection>RePEc</collection><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><collection>Risk Abstracts</collection><collection>Safety Science and Risk</collection><collection>Environmental Sciences and Pollution Management</collection><jtitle>Applied financial economics</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Pukthuanthong-Le, Kuntara</au><au>Visaltanachoti, Nuttawat</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Idiosyncratic volatility and stock returns: a cross country analysis</atitle><jtitle>Applied financial economics</jtitle><date>2009-08</date><risdate>2009</risdate><volume>19</volume><issue>16</issue><spage>1269</spage><epage>1281</epage><pages>1269-1281</pages><issn>0960-3107</issn><eissn>1466-4305</eissn><abstract>Empirical evidences regarding the association of idiosyncratic volatility and stock returns are inconsistent with the Capital Asset Pricing Model (CAPM), which implies that idiosyncratic risk should not be priced because it would be fully eliminated through diversification. Using Exponential Generalized Autoregressive Conditional Heteroscedasticity (EGARCH) estimated conditional idiosyncratic volatility of individual stocks across 36 countries from 1973 to 2007, we find that idiosyncratic risk is priced on a significantly positive risk premium for stock returns. The evidence is statistically and economically significant. It overwhelmingly supports the prediction of existing theories that idiosyncratic risk is positively related to expected returns.</abstract><cop>London</cop><pub>Routledge</pub><doi>10.1080/09603100802534297</doi><tpages>13</tpages></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 0960-3107 |
| ispartof | Applied financial economics, 2009-08, Vol.19 (16), p.1269-1281 |
| issn | 0960-3107 1466-4305 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_745640624 |
| source | RePEc; EBSCO Business Source Complete |
| subjects | Asset pricing Capital assets CAPM Financial economics GARCH models Rates of return Risk premiums Stochastic models Stock returns Studies Volatility |
| title | Idiosyncratic volatility and stock returns: a cross country analysis |
| url | https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-02-12T11%3A39%3A22IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-proquest_repec&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=Idiosyncratic%20volatility%20and%20stock%20returns:%20a%20cross%20country%20analysis&rft.jtitle=Applied%20financial%20economics&rft.au=Pukthuanthong-Le,%20Kuntara&rft.date=2009-08&rft.volume=19&rft.issue=16&rft.spage=1269&rft.epage=1281&rft.pages=1269-1281&rft.issn=0960-3107&rft.eissn=1466-4305&rft_id=info:doi/10.1080/09603100802534297&rft_dat=%3Cproquest_repec%3E745640624%3C/proquest_repec%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_pqid=197184179&rft_id=info:pmid/&rfr_iscdi=true |