Idiosyncratic Volatility of Stock Returns: An International Evidence

• Main Authors: Ming-Hsien Hsieh, 謝明憲
• Other Authors: Chin-WenHsin
• Format: Others
• Language: en_US
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/86893549749928819004

碩士 === 元智大學 === 商學碩士班(財務金融學程) === 94 === This study examines the predictive ability of idiosyncratic volatility in the UK and the Japanese markets. The results show that idiosyncratic risk has been rising during the 1990’s and that the behavior of idiosyncratic volatility of small stocks is different from that of large stocks. Several new findings emerge from the empirical results. First, the observation of a positive relationship between the lagged idiosyncratic risk and stock returns in UK by Goyal and Santa-Clara (2003) no longer exists for the extended sample period when post year 2000 periods are included. Second, the idiosyncratic volatility is significantly negatively related to small stock returns in the UK and the Japanese markets. Last, the volatility is found significantly positively related to the expected return during bull market while a converse relationship is observed during the bear market.