Idiosyncratic volatility and stock returns: Evidence from the MILA

Luis Berggrun, Edmundo Lizarzaburu () and Emilio Cardona

Research in International Business and Finance, 2016, vol. 37, issue C, 422-434

Abstract: This paper examines the association between idiosyncratic volatility and stock returns in the MILA from 2001 to 2014. Based on portfolio strategies that rely on one- or two-way sorts, we find that idiosyncratic risk is not a predictor of returns in the whole period or during high or low volatility months in the integrated market. We confirm the lack of an idiosyncratic volatility effect in a multivariate setting conducting errors-in-variables-free panel regressions. Overall, unsystematic risk is not a priced factor in the MILA, in line with predictions of several pricing models and recent literature in the U.S. market.

Keywords: Idiosyncratic risk; Emerging markets; Latin American Integrated Market; Mercado Integrado Latinoamericano; Portfolio performance evaluation; Panel regression (search for similar items in EconPapers)
JEL-codes: G11 G14 G15 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0275531916300113
Full text for ScienceDirect subscribers only

Related works:
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: https://EconPapers.repec.org/RePEc:eee:riibaf:v:37:y:2016:i:c:p:422-434

DOI: 10.1016/j.ribaf.2016.01.011

Access Statistics for this article

Research in International Business and Finance is currently edited by T. Lagoarde Segot

More articles in Research in International Business and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().