EconPapers    
Economics at your fingertips  
 

Aggregate Idiosyncratic Volatility

Geert Bekaert (), Robert Hodrick () and Xiaoyan Zhang

No 16058, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: 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.

JEL-codes: G12 (search for similar items in EconPapers)
Date: 2010-06
Note: AP IFM
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (4) Track citations by RSS feed

Published as Bekaert, Geert & Hodrick, Robert J. & Zhang, Xiaoyan, 2012. "Aggregate Idiosyncratic Volatility," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 47(06), pages 1155-1185, December.

Downloads: (external link)
http://www.nber.org/papers/w16058.pdf (application/pdf)

Related works:
Journal Article: Aggregate Idiosyncratic Volatility (2012) Downloads
Working Paper: Aggregate Idiosyncratic Volatility (2010) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:nbr:nberwo:16058

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w16058

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Series data maintained by ().

 
Page updated 2017-09-07
Handle: RePEc:nbr:nberwo:16058