Idiosyncratic volatility, conditional liquidity and stock returns

被引：13

作者：

Malagon, Juliana ^{[1
,2
]}

Moreno, David ^{[3
]}

Rodriguez, Rosa ^{[3
]}

机构：

[1] Univ Los Andes, Sch Management, Cll 21 1-20,Edificio Santo Domingo, Bogota, Colombia

[2] Univ Durham, Business Sch, Mill Hill Lane, Durham DH1 3LB, England

[3] Univ Carlos III, Dept Business Adm, C Madrid 126, Getafe 28903, Spain

来源：

INTERNATIONAL REVIEW OF ECONOMICS & FINANCE | 2018年 / 53卷

关键词：

Idiosyncratic risk; Idiosyncratic volatility anomaly; Regime switching model; Flight to liquidity; CROSS-SECTION; INDIVIDUAL STOCKS; RISK; ILLIQUIDITY; INVESTMENT; BIASES;

D O I：

10.1016/j.iref.2017.10.011

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

There is strong evidence showing that stocks with higher levels of idiosyncratic risk provide relatively lower returns than stocks with lower levels of it. This paper points out that this negative idiosyncratic risk - expected returns relation is not pervasive over time, and provides a plausible explanation for its time-varying nature. Our results suggest that following recessions, the conditional pricing of liquidity, creates a correction in prices of the high idiosyncratic volatility stocks that persists up to 9 months. As a result, the negative relation between idiosyncratic risk and expected returns is not observed following recessions.

引用

页码：118 / 132

页数：15

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