| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w16058 |
| 来源ID | Working Paper 16058 |
| Aggregate Idiosyncratic Volatility | |
| Geert Bekaert; Robert J. Hodrick; Xiaoyan Zhang | |
| 发表日期 | 2010-06-03 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | We examine aggregate idiosyncratic volatility in 23 developed equity markets, measured using various methodologies, and we find no evidence of upward trends when we extend the sample until 2008. Instead, idiosyncratic volatility appears to be well described by a stationary autoregressive process that occasionally switches into a higher-variance regime that has relatively short duration. We also document that idiosyncratic volatility is highly correlated across countries. Finally, we examine the determinants of the time-variation in idiosyncratic volatility. In most specifications, the bulk of idiosyncratic volatility can be explained by a growth opportunity proxy, total (U.S.) market volatility, and in most but not all specifications, the variance premium, a business cycle sensitive risk indicator. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w16058 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/573732 |
| 推荐引用方式 GB/T 7714 | Geert Bekaert,Robert J. Hodrick,Xiaoyan Zhang. Aggregate Idiosyncratic Volatility. 2010. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w16058.pdf（462KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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