The idiosyncratic volatility anomaly: Corporate investment or investor mispricing?
| Autor: | David Moreno, Rosa Rodríguez, Juliana Malagon |
|---|---|
| Přispěvatelé: | Ministerio de Economía y Competitividad (España) |
| Rok vydání: | 2015 |
| Předmět: |
Cross-section
Economics and Econometrics Financial economics Accrual Idiosyncratic risk Investor mispricing Irrationality Anomaly Investor profile Corporate investment Skewness Systematic risk Profitability Economics Profitability index G12 Volatility (finance) Accruals Finance Stock (geology) Accruals anomaly Empresa Valuation Theory |
| Zdroj: | Journal of banking and finance, 2015, Vol.60, pp.224-238 [Peer Reviewed Journal] e-Archivo. Repositorio Institucional de la Universidad Carlos III de Madrid instname |
| ISSN: | 0378-4266 2012-3655 |
| DOI: | 10.1016/j.jbankfin.2015.08.014 |
| Popis: | Most of the literature on the idiosyncratic volatility anomaly has focused on plausible explanations for it based on investor preferences, investor irrationality or market characteristics. Surprisingly, the role of asset-pricing models and firm characteristics in the estimation of idiosyncratic risk measures has been largely neglected. Our results suggest that investment and profitability, presumably driven by managers and therefore linked to idiosyncratic risk, are able to account for the anomaly in a cross-section of stock returns. Moreover, we show that this effect is independent and complementary to the effects related to investor preference for skewness Rosa Rodríguez acknowledges financial support from Ministerio de Economía y Competitividad grant ECO2012-36559. David Moreno acknowledges financial support from Ministerio de Economía y Competitividad grant ECO2013-42849-P |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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