Explaining the idiosyncratic volatility puzzle using Stochastic Discount Factors |
| |
Authors: | Fousseni Chabi-Yo |
| |
Institution: | Fisher College of Business, Ohio State University, Columbus, OH 43210, USA |
| |
Abstract: | I use Stochastic Discount Factors to examine the sources of the idiosyncratic volatility premium. I find that non-zero risk aversion and firms’ non-systematic coskewness determine the premium on idiosyncratic volatility risk. The firm’s non-systematic coskewness measures the comovement of the asset’s volatility with the market return. When I control for the non-systematic coskewness factor, I find no significant relation between idiosyncratic volatility and stock expected returns. My results are robust across different sample periods and firm characteristics. |
| |
Keywords: | G11 G12 G14 G33 |
本文献已被 ScienceDirect 等数据库收录! |
|