Idiosyncratic volatility puzzle: The role of assets' interconnections

  • 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.

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Metadaten
Author:Roberto C. Panzica
URN:urn:nbn:de:hebis:30:3-472406
URL:https://ssrn.com/abstract=3240484
DOI:https://doi.org/10.2139/ssrn.3240484
Parent Title (English):SAFE working paper series ; No. 228
Series (Serial Number):SAFE working paper series (228)
Publisher:SAFE
Place of publication:Frankfurt am Main
Document Type:Working Paper
Language:English
Year of Completion:2018
Year of first Publication:2018
Publishing Institution:Universit├Ątsbibliothek Johann Christian Senckenberg
Release Date:2018/09/05
Tag:Expected Returns; Granger Causality; Idiosyncratic volatility puzzle; Networks
Issue:This version: August 8, 2018
Page Number:41
HeBIS-PPN:436697424
Institutes:Wirtschaftswissenschaften / Wirtschaftswissenschaften
Wissenschaftliche Zentren und koordinierte Programme / House of Finance (HoF)
Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS)
Wissenschaftliche Zentren und koordinierte Programme / Sustainable Architecture for Finance in Europe (SAFE)
Dewey Decimal Classification:3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft
Sammlungen:Universit├Ątspublikationen
Licence (German):License LogoDeutsches Urheberrecht