Sentences with phrase «in idiosyncratic volatility»

Commonality in idiosyncratic volatility can not be completely explained by time - varying volatility.

Not exact matches

In their May 2006 paper entitled «The Relation between Time - Series and Cross-Sectional Effects of Idiosyncratic Variance on Stock Returns in G7 Countries», Hui Guo and Robert Savickas investigate why the realized idiosyncratic volatility (beta) of individual stocks correlates negatively with future returns — why there is a penalty instead of a reward for this apparent risIn their May 2006 paper entitled «The Relation between Time - Series and Cross-Sectional Effects of Idiosyncratic Variance on Stock Returns in G7 Countries», Hui Guo and Robert Savickas investigate why the realized idiosyncratic volatility (beta) of individual stocks correlates negatively with future returns — why there is a penalty instead of a reward for this aIdiosyncratic Variance on Stock Returns in G7 Countries», Hui Guo and Robert Savickas investigate why the realized idiosyncratic volatility (beta) of individual stocks correlates negatively with future returns — why there is a penalty instead of a reward for this apparent risin G7 Countries», Hui Guo and Robert Savickas investigate why the realized idiosyncratic volatility (beta) of individual stocks correlates negatively with future returns — why there is a penalty instead of a reward for this aidiosyncratic volatility (beta) of individual stocks correlates negatively with future returns — why there is a penalty instead of a reward for this apparent risk.

MiFID II is expected to result in less sell - side research coverage of companies, which potentially increases pricing inefficiencies and idiosyncratic volatility, as information may not spread through the markets.

In contrast, larger - capitalization stocks with substantial tangible assets, high liquidity and low idiosyncratic volatility are less susceptible to sentiment - related mispricing.

She defines idiosyncratic volatility as the standard deviation of daily residuals from monthly regressions of returns (in excess of the risk - free rate) for each stock versus Fama - French model factors.

In her April 2013 paper entitled «Revisiting Idiosyncratic Volatility and Stock Returns», Fatma Sonmez re-examines the relationship between idiosyncratic volatility and future sIdiosyncratic Volatility and Stock Returns», Fatma Sonmez re-examines the relationship between idiosyncratic volatility and future stocVolatility and Stock Returns», Fatma Sonmez re-examines the relationship between idiosyncratic volatility and future sidiosyncratic volatility and future stocvolatility and future stock returns.

For me, the most important part of the study is the finding that «The nonparametric monotonicity relation test indicates that the differences in the total return of the equal - weighted portfolio and the value - and price - weighted portfolios is monotonically related to size, price, liquidity and idiosyncratic volatility.»

The association between idiosyncratic volatility and worsening earnings quality is more pronounced when the deterioration in earnings quality is related to managerial discretion.