| Autor: |
Switzer, Lorne N., El Meslmani, Nabil |
| Předmět: |
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| Zdroj: |
Risk & Decision Analysis; 2017, Vol. 6 Issue 3, p193-212, 20p |
| Abstrakt: |
This paper examines whether the puzzling negative relationship between idiosyncratic volatility and next month performance is affected by the intensity of merger and acquisition (M&A) activity in the market. Our results show that the idiosyncratic volatility puzzle is stronger in periods of high M&A activity than in periods of low M&A activity. Further analysis shows that the negative relationship between idiosyncratic volatility and next month performance is the strongest in the high M&A activity sub-period spanning from 1982-1989. In contrast, M&A activity does not explain the negative relationship between the common factor in idiosyncratic volatility (CIV) and next month performance. M&A activity can in part explain the idiosyncratic volatility puzzle, but it does not subsume the negative relationship between CIV exposure and firm returns. [ABSTRACT FROM AUTHOR] |
| Databáze: |
Complementary Index |
| Externí odkaz: |
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