EconPapers    
Economics at your fingertips  
 

Idiosyncratic volatility and nominal stock prices: evidence from approximate factor structures

Patrick Roger, Tristan Roger () and Alain Schatt ()

Post-Print from HAL

Abstract: Approximate factor structures defined by Chamberlain and Rotschild (1983) allow to test whether a given quantitative firm characteristic (the nominal stock price in this paper) is a determinant of the idiosyncratic volatility of stock returns. Our study of 8,000 U.S stocks over the period 1980-2014 shows that small price stocks exhibit a higher idiosyncratic volatility than large price stocks. This relationship is persistent over time and robust to variations in the number of common factors of the approximate factor structure. Moreover, this small price effect does not hide a small-firm effect because it is still valid when we analyze the tercile of large firms. Our result confirms that small price stocks have lottery-type characteristics and, therefore, it is not in line with the efficient market hypothesis.

Keywords: stock returns; idiosyncrasy; price effect (search for similar items in EconPapers)
Date: 2017
Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-02303555
References: Add references at CitEc
Citations: Track citations by RSS feed

Published in Finance Bulletin, 2017, 1 (1), ⟨10.20870/fb.2017.1.1.1853⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:hal:journl:hal-02303555

DOI: 10.20870/fb.2017.1.1.1853

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().

 
Page updated 2020-09-22
Handle: RePEc:hal:journl:hal-02303555