Publication
What drives idiosyncratic volatility over time?
| dc.contributor.author | Sousa, Sónia R. | |
| dc.contributor.author | Serra, Ana Paula | |
| dc.date.accessioned | 2018-06-07T15:49:06Z | |
| dc.date.available | 2018-06-07T15:49:06Z | |
| dc.date.issued | 2008-12 | |
| dc.description.abstract | 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. | pt_PT |
| dc.description.version | info:eu-repo/semantics/publishedVersion | pt_PT |
| dc.identifier.citation | Sousa, Sónia R. e Ana Paula Serra (2008). "What drives idiosyncratic volatility over time?". Portuguese Economic Journal, 7(3):155-181 | pt_PT |
| dc.identifier.doi | 10.1007/s10258-008-0031-7 | pt_PT |
| dc.identifier.issn | 1617-982X (print) | |
| dc.identifier.issn | 1617-9838 (online) | |
| dc.identifier.uri | http://hdl.handle.net/10400.5/15579 | |
| dc.language.iso | eng | pt_PT |
| dc.peerreviewed | yes | pt_PT |
| dc.publisher | Springer Verlag | pt_PT |
| dc.subject | Idiosyncratic volatility · Firm-specific risk · Volatility components | pt_PT |
| dc.subject | Firm-specific risk | pt_PT |
| dc.subject | Volatility components | pt_PT |
| dc.title | What drives idiosyncratic volatility over time? | pt_PT |
| dc.type | journal article | |
| dspace.entity.type | Publication | |
| oaire.citation.conferencePlace | Lisboa | pt_PT |
| oaire.citation.endPage | 181 | pt_PT |
| oaire.citation.issue | 3 | pt_PT |
| oaire.citation.startPage | 155 | pt_PT |
| oaire.citation.title | Portuguese Economic Journal | pt_PT |
| oaire.citation.volume | 7 | pt_PT |
| rcaap.rights | closedAccess | pt_PT |
| rcaap.type | article | pt_PT |