| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8307 |
| DP8307 Idiosyncratic Return Volatility in the Cross-Section of Stocks | |
| Péter Kondor; Ronnie Sadka; Namho Kang | |
| 发表日期 | 2011-04-01 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | This paper uncovers the changes in the cross-sectional distribution of idiosyncratic volatility of stocks over the period 1963--2008. The contribution of the top decile to the total market idiosyncratic volatility increased, while the contribution of the bottom decile decreased. We introduce a simple theoretical model showing that larger capital of Long/Short-Equity funds further exacerbates large idiosyncratic shocks but attenuates small idiosyncratic shocks. This effect is stronger for more illiquid stocks. Time-series and cross-sectional results are consistent with the predictions of the model. The results are robust to industry affiliation, stock liquidity, firm size, firm leverage, as well as sign of price change. These findings highlight the roll of hedge funds and other institutional investors in explaining the dynamics of extreme realizations in the cross-section of returns. |
| 主题 | Financial Economics |
| 关键词 | Hedge funds Idiosyncratic risk Limits to arbitrage |
| URL | https://cepr.org/publications/dp8307 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537144 |
| 推荐引用方式 GB/T 7714 | Péter Kondor,Ronnie Sadka,Namho Kang. DP8307 Idiosyncratic Return Volatility in the Cross-Section of Stocks. 2011. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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