Idiosyncratic Volatility Puzzle: Influence of Macro-Finance Factors

Publikation: Working paperForskning

Standard

Idiosyncratic Volatility Puzzle : Influence of Macro-Finance Factors. / Aslanidis, Nektarios; Christiansen, Charlotte; Lambertides, Neophytos; Savva, Christos S.

Aarhus : Institut for Økonomi, Aarhus Universitet, 2014.

Publikation: Working paperForskning

Harvard

Aslanidis, N, Christiansen, C, Lambertides, N & Savva, CS 2014 'Idiosyncratic Volatility Puzzle: Influence of Macro-Finance Factors' Institut for Økonomi, Aarhus Universitet, Aarhus.

APA

Aslanidis, N., Christiansen, C., Lambertides, N., & Savva, C. S. (2014). Idiosyncratic Volatility Puzzle: Influence of Macro-Finance Factors. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2014-45

CBE

Aslanidis N, Christiansen C, Lambertides N, Savva CS. 2014. Idiosyncratic Volatility Puzzle: Influence of Macro-Finance Factors. Aarhus: Institut for Økonomi, Aarhus Universitet.

MLA

Aslanidis, Nektarios o.a.. Idiosyncratic Volatility Puzzle: Influence of Macro-Finance Factors. Aarhus: Institut for Økonomi, Aarhus Universitet. (CREATES Research Papers; Journal nr. 2014-45). 2014., 43 s.

Vancouver

Aslanidis N, Christiansen C, Lambertides N, Savva CS. Idiosyncratic Volatility Puzzle: Influence of Macro-Finance Factors. Aarhus: Institut for Økonomi, Aarhus Universitet. 2014 nov 24.

Author

Aslanidis, Nektarios ; Christiansen, Charlotte ; Lambertides, Neophytos ; Savva, Christos S. / Idiosyncratic Volatility Puzzle : Influence of Macro-Finance Factors. Aarhus : Institut for Økonomi, Aarhus Universitet, 2014. (CREATES Research Papers; Nr. 2014-45).

Bibtex

@techreport{fd7d35766a154f3eb8dab7d538e5439f,
title = "Idiosyncratic Volatility Puzzle: Influence of Macro-Finance Factors",
abstract = "In this paper, we scrutinize the cross-sectional relation between idiosyncratic volatility and stock returns. As a novelty, the idiosyncratic volatility is obtained by conditioning upon macro-{\"O}nance factors as well as upon traditional asset pricing factors. The macro-{\"O}nance factors are constructed from a large pool of macroeconomic and {\"O}nancial variables. Cleaning for macro-{\"O}nance e§ects reverses the puzzling negative relation between returns and idiosyncratic volatility documented previously. Portfolio analysis shows that the e§ects from macro-{\"O}nance factors are economically strong. The relation between idiosyncratic volatility and returns does not vary with the NBER business cycles. The empirical results are highly robust.",
keywords = "Idiosyncratic volatility puzzle, Macro-finance predictors, Factor analysis, Business cycle, Idiosyncratic volatility puzzle, Macro-finance predictors, Factor analysis, Business cycle",
author = "Nektarios Aslanidis and Charlotte Christiansen and Neophytos Lambertides and Savva, {Christos S.}",
year = "2014",
month = nov,
day = "24",
language = "English",
series = "CREATES Research Papers",
publisher = "Institut for {\O}konomi, Aarhus Universitet",
number = "2014-45",
type = "WorkingPaper",
institution = "Institut for {\O}konomi, Aarhus Universitet",

}

RIS

TY - UNPB

T1 - Idiosyncratic Volatility Puzzle

T2 - Influence of Macro-Finance Factors

AU - Aslanidis, Nektarios

AU - Christiansen, Charlotte

AU - Lambertides, Neophytos

AU - Savva, Christos S.

PY - 2014/11/24

Y1 - 2014/11/24

N2 - In this paper, we scrutinize the cross-sectional relation between idiosyncratic volatility and stock returns. As a novelty, the idiosyncratic volatility is obtained by conditioning upon macro-Önance factors as well as upon traditional asset pricing factors. The macro-Önance factors are constructed from a large pool of macroeconomic and Önancial variables. Cleaning for macro-Önance e§ects reverses the puzzling negative relation between returns and idiosyncratic volatility documented previously. Portfolio analysis shows that the e§ects from macro-Önance factors are economically strong. The relation between idiosyncratic volatility and returns does not vary with the NBER business cycles. The empirical results are highly robust.

AB - In this paper, we scrutinize the cross-sectional relation between idiosyncratic volatility and stock returns. As a novelty, the idiosyncratic volatility is obtained by conditioning upon macro-Önance factors as well as upon traditional asset pricing factors. The macro-Önance factors are constructed from a large pool of macroeconomic and Önancial variables. Cleaning for macro-Önance e§ects reverses the puzzling negative relation between returns and idiosyncratic volatility documented previously. Portfolio analysis shows that the e§ects from macro-Önance factors are economically strong. The relation between idiosyncratic volatility and returns does not vary with the NBER business cycles. The empirical results are highly robust.

KW - Idiosyncratic volatility puzzle, Macro-finance predictors, Factor analysis, Business cycle

KW - Idiosyncratic volatility puzzle

KW - Macro-finance predictors

KW - Factor analysis

KW - Business cycle

M3 - Working paper

T3 - CREATES Research Papers

BT - Idiosyncratic Volatility Puzzle

PB - Institut for Økonomi, Aarhus Universitet

CY - Aarhus

ER -