Diversification and idiosyncratic volatility puzzle: Evidence from ETFs

被引：2

作者：

Duanmu, Jun ^{[1
]}

Hur, Jungshik ^{[2
]}

Li, Yongjia ^{[3
]}

机构：

[1] Seattle Univ, Albers Sch Business & Econ, 901 12th Ave, Seattle, WA 98122 USA

[2] Louisiana Tech Univ, Coll Business, 201 Mayfield Ave, Ruston, LA 71272 USA

[3] Boise State Univ, Coll Business & Econ, 1910 Univ Dr, Boise, ID 83725 USA

来源：

RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE | 2024年 / 71卷

关键词：

Idiosyncratic volatility puzzle; Exchange Traded Funds (ETFs); Diversification; CROSS-SECTION; RISK; STOCKS; EQUILIBRIUM; ARBITRAGE; RETURNS; MARKET;

D O I：

10.1016/j.ribaf.2024.102443

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Exchange Traded Funds (ETFs) are considered diversified portfolios with low transaction costs and high liquidity. We test the impact of idiosyncratic risk on the cross-sectional returns of ETFs. We find the magnitude of idiosyncratic risk for U.S. equity ETFs is less than half of that of the sector equity ETFs. We show evidence that the idiosyncratic volatility (IVOL) puzzle only exists for sector equity ETFs, albeit they have a significant number of constituents. These findings are robust to ETF price, size, liquidity, different idiosyncratic risk estimates, and the subset of ETFs with a large number of constituents.

引用

页数：16

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