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
收藏
页码：923 / 951
页数：29
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