Decomposing the idiosyncratic volatility anomaly among euro area stocks

被引：1

作者：

Annaert, Jan ^{[1
,2
]}

De Ceuster, Marc ^{[1
]}

Van Doninck, Freek ^{[1
]}

机构：

[1] Univ Antwerp, Prinsstr 13, B-2000 Antwerp, Belgium

[2] Antwerp Management Sch, Boogkeers 5, B-2000 Antwerp, Belgium

来源：

FINANCE RESEARCH LETTERS | 2022年 / 47卷

关键词：

Idiosyncratic volatility; Cross-section of stock returns; Lottery characteristics; Market frictions; CROSS-SECTION; LIQUIDITY BIASES; MARKET; EQUILIBRIUM; ILLIQUIDITY; MOMENTUM; RETURNS;

D O I：

10.1016/j.frl.2022.102672

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We estimate the widely documented idiosyncratic volatility premium at a statistically and economically significant -7.27 basis points monthly among euro area stocks. Furthermore, we test the robustness of Hou and Loh (2016; HL) US findings on the decomposition of the premium in fractions related to lottery characteristics and market frictions. In line with HL, we are able to explain approximately 30% of the anomaly with a balanced contribution between the two competing explanations. The bid-ask spread plays a large role in explaining the anomaly in the euro area, while HL find no consistent evidence for its importance in the US.

引用

页数：8

共 27 条

[1] Illiquidity and stock returns: cross-section and time-series effects [J].