Idiosyncratic risk and international trade: New evidence

Volkan Sezgin, Ömer Tuğsal Doruk, Ahmet Yasir Barak and Hasan Murat Ertuğrul

Finance Research Letters, 2025, vol. 78, issue C

Abstract: In this empirical study, the relationship between idiosyncratic volatility and international sales of a sample of non-financial firms traded in the S&P 500, over 40 years is investigated by means of regression analysis and local projections method in a dynamic framework based on panel fixed effects. The results show that idiosyncratic volatility discourages international sales significantly. Moreover, according to the results of the local projections method, idiosyncratic volatility gradually reduces international sales and has a long-term effect. The results are robust to various robustness checks.

Keywords: Idiosyncratic volatility; International sales; Panel data analysis; Dynamic analysis; Local projections methodology (search for similar items in EconPapers)
JEL-codes: C33 F14 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:78:y:2025:i:c:s1544612325004362

DOI: 10.1016/j.frl.2025.107173

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