TY  - UNPD
A1  - Panzica, Roberto Calogero
T1  - Idiosyncratic volatility puzzle: The role of assets' interconnections
T2  - SAFE working paper series ; No. 228
N2  - The paper investigates the determinants of the idiosyncratic volatility puzzle by allowing linkages across asset returns. The first contribution of the paper is to show that portfolios sorted by increasing indegree computed on the network based on Granger causality test have lower expected returns, not related to idiosyncratic volatility. Secondly, empirical evidence indicates that stocks with higher idiosyncratic volatility have the lower exposition on the indegree risk factor.
T3  - SAFE working paper - 228 
KW  - Idiosyncratic volatility puzzle
KW  - Networks
KW  - Expected Returns
KW  - Granger Causality
Y1  - 2018
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/47240
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-472406
UR  - https://ssrn.com/abstract=3240484
IS  - This version: August 8, 2018
PB  - SAFE
CY  - Frankfurt am Main
ER  -