Idiosyncratic volatility puzzle: The role of assets' interconnections
- 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.
| Author: | Roberto Calogero PanzicaGND |
|---|---|
| URN: | urn:nbn:de:hebis:30:3-472406 |
| URL: | https://ssrn.com/abstract=3240484 |
| DOI: | https://doi.org/10.2139/ssrn.3240484 |
| Parent Title (English): | SAFE working paper series ; No. 228 |
| Series (Serial Number): | SAFE working paper (228) |
| Publisher: | SAFE |
| Place of publication: | Frankfurt am Main |
| Document Type: | Working Paper |
| Language: | English |
| Year of Completion: | 2018 |
| Year of first Publication: | 2018 |
| Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Release Date: | 2018/09/05 |
| Tag: | Expected Returns; Granger Causality; Idiosyncratic volatility puzzle; Networks |
| Issue: | This version: August 8, 2018 |
| Page Number: | 41 |
| HeBIS-PPN: | 436697424 |
| Institutes: | Wirtschaftswissenschaften / Wirtschaftswissenschaften |
| Wissenschaftliche Zentren und koordinierte Programme / House of Finance (HoF) | |
| Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) | |
| Wissenschaftliche Zentren und koordinierte Programme / Sustainable Architecture for Finance in Europe (SAFE) | |
| Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| Sammlungen: | Universitätspublikationen |
| Licence (German): |  Deutsches Urheberrecht |
