TY - JOUR
T1 - Country-specific idiosyncratic risk and global equity index returns
AU - Hueng, C. James
AU - Yau, Ruey
N1 - Funding Information:
We thank the editor and two anonymous referees for useful comments. Yau gratefully acknowledges financial support from the National Science Council of Taiwan (Grant NSC 100-2410-H-008-022 ).
PY - 2013/1
Y1 - 2013/1
N2 - Studies have claimed that the "idiosyncratic volatility puzzle" in the firm-level data can be explained by certain time-series properties of the firm-specific shocks. The absence of this puzzle in the country-level index data implies that the time-series properties of the country-specific shocks are different from those of the firm-specific shocks. We find that the differences are, first, lagged idiosyncratic volatility is a better proxy for expected idiosyncratic risk in the country-level data. Second, idiosyncratic skewness is not a significant factor determining country-level index returns. Finally, country-specific index returns show momentum, as opposed to return reversals documented in the firm-level data.
AB - Studies have claimed that the "idiosyncratic volatility puzzle" in the firm-level data can be explained by certain time-series properties of the firm-specific shocks. The absence of this puzzle in the country-level index data implies that the time-series properties of the country-specific shocks are different from those of the firm-specific shocks. We find that the differences are, first, lagged idiosyncratic volatility is a better proxy for expected idiosyncratic risk in the country-level data. Second, idiosyncratic skewness is not a significant factor determining country-level index returns. Finally, country-specific index returns show momentum, as opposed to return reversals documented in the firm-level data.
KW - Country-specific risk
KW - Idiosyncratic volatility puzzle
KW - International asset pricing
UR - http://www.scopus.com/inward/record.url?scp=84865412401&partnerID=8YFLogxK
U2 - 10.1016/j.iref.2012.07.014
DO - 10.1016/j.iref.2012.07.014
M3 - 期刊論文
AN - SCOPUS:84865412401
SN - 1059-0560
VL - 25
SP - 326
EP - 337
JO - International Review of Economics and Finance
JF - International Review of Economics and Finance
ER -