Idiosyncratic volatility and global equity markets

Klaus Grobys

Applied Economics Letters, 2015, vol. 22, issue 5, 402-405

Abstract: This article investigates the relation of idiosyncratic volatility (IVOL) and future returns on a portfolio level in global equity markets. In contrast to previous studies (Ang et al. 2006, 2009), it reveals that the spread between stock indices exhibiting a high IVOL and stock indices with low IVOL is positive and unrelated to movements in the business cycle. Traditional asset pricing models cannot explain the spread.

Date: 2015
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/13504851.2014.946177 (text/html)
Access to full text is restricted to subscribers.

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:taf:apeclt:v:22:y:2015:i:5:p:402-405

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504851.2014.946177

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().