Idiosyncratic volatility puzzle : the role of assets' interconnections

Roberto C. Panzica

The paper investigates the determinants of the idiosyncratic volatility puzzle by allowing linkages across asset returns. The first contribution of the paper is to show that portfolios sorted by increasing indegree computed on the network based on Granger causality test have lower expected returns, not related to idiosyncratic volatility. Secondly, empirical evidence indicates that stocks with higher idiosyncratic volatility have the lower exposition on the indegree risk factor.

MoreLess

Year of publication:	2018
Authors:	Panzica, Roberto Calogero
Published in:	Network connectivity, systematic and systemic risk. - Frankfurt am Main. - 2018, p. 145-181
Subject:	Idiosyncratic volatility puzzle \| Networks \| Expected Returns \| Granger Causality \| Volatilität \| Volatility \| Börsenkurs \| Share price \| Kapitaleinkommen \| Capital income \| Kausalanalyse \| Causality analysis \| Portfolio-Management \| Portfolio selection \| Schock \| Shock \| Risiko \| Risk \| CAPM \| Schätzung \| Estimation

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz im Buch ; Book section
Language:	English
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012305840