Idiosyncratic Volatility and Firm-Specific News: Beyond Limited Arbitrage

被引：5

作者：

DeLisle, R. Jared ^{[1
]}

Mauck, Nathan ^{[2
]}

Smedema, Adam R. ^{[3
]}

机构：

[1] Utah State Univ, Dept Econ & Finance, Logan, UT 84322 USA

[2] Univ Missouri, Henry W Bloch Sch Management, Dept Finance, Kansas City, MO 64110 USA

[3] Univ Northern Iowa, Dept Finance, Cedar Falls, IA USA

来源：

FINANCIAL MANAGEMENT | 2016年 / 45卷 / 04期

关键词：

CROSS-SECTION; RISK; MARKET; RETURN; EQUILIBRIUM; STOCKS; INFORMATION; COVARIANCE; LIQUIDITY;

D O I：

10.1111/fima.12135

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine the relation between idiosyncratic volatility and returns around news announcements. Mispricing is most likely to occur during news announcements. If idiosyncratic volatility generates a limit to arbitrage, then the negative relation between returns and news volatility should be stronger than the relation to nonnews volatility. Instead, we find nonnews volatility has a robust negative relation to returns and lacks key features expected if volatility were a reflection of limits to arbitrage. Pricing of nonnews volatility is related to lottery-like features of a stock's return. Our results suggest that volatility has a price effect beyond a limit to arbitrage.

引用

页码：923 / 951

页数：29

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