Loading...
Please wait, while we are loading the content...
Similar Documents
Idiosyncratic volatility, Australian stock returns and economy conditions: role of idiosyncratic volatility in asset pricing for Australian stock markets
| Content Provider | Semantic Scholar |
|---|---|
| Author | Iorio, Amalia Di |
| Copyright Year | 2012 |
| Abstract | This study examines the importance of idiosyncratic volatility in asset pricing for Australian stock returns from 1993 to 2010. We form an idiosyncratic volatility mimicking factor. In the presence of the Fama-French three-factor we find that the idiosyncratic volatility mimicking factor is priced in Australian stock returns over the sample period, implying that this type of volatility is significant in the pricing of Australian stocks. Further, we find that idiosyncratic volatility is priced during both economy expansions and contractions and our model captures greater variations in Australian stock returns during expansions than contractions. Disciplines Business Publication Details Liu, B. & Di Iorio, A. (2012). Idiosyncratic volatility, Australian stock returns and economy conditions: role of idiosyncratic volatility in asset pricing for Australian stock markets. European Financial Management Association 2012 Annual Meeting (pp. 1-37). European Financial Management Association. This conference paper is available at Research Online: http://ro.uow.edu.au/buspapers/1041 Idiosyncratic Volatility, Stock Returns and Economy Conditions: The Role of Idiosyncratic Volatility in the Australian Stock Market Bin Liu Amalia Di Iorio RMIT University Melbourne Australia |
| Starting Page | 1 |
| Ending Page | 1 |
| Page Count | 1 |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | https://ro.uow.edu.au/cgi/viewcontent.cgi?article=2047&context=buspapers |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
