A carregar...
Publicação
What drives idiosyncratic volatility over time?
| Nome: | Descrição: | Tamanho: | Formato: | |
|---|---|---|---|---|
| 452.56 KB | Adobe PDF |
Autores
Orientador(es)
Resumo(s)
We document the patterns of market-wide and firm-specific volatility in the Portuguese stock market over the 1991–2005 period and test several explanations for the behavior of firm-level idiosyncratic volatility. Unlike previous studies we find no evidence of a statistically significant rise in firm- specific volatility. On the contrary, the ratio of firm-specific risk to total risk slightly decreases. We show that this result stems from new listings of large privatized companies that display lower firm-specific risk. Our findings are consistent with the idea that changes in idiosyncratic volatility are related to changes in the composition of the market.
Descrição
Palavras-chave
Idiosyncratic volatility · Firm-specific risk · Volatility components Firm-specific risk Volatility components
Contexto Educativo
Citação
Sousa, Sónia R. e Ana Paula Serra (2008). "What drives idiosyncratic volatility over time?". Portuguese Economic Journal, 7(3):155-181
Editora
Springer Verlag