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Idiosyncratic return volatility and the role of firm fundamentals: A cross-country analysis

Ebrahim Nejad, A ; Sharif University of Technology | 2021

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  1. Type of Document: Article
  2. DOI: 10.1016/j.gfj.2021.100667
  3. Publisher: Elsevier B.V , 2021
  4. Abstract:
  5. We investigate the relation between fundamental idiosyncratic volatility and stock returns idiosyncratic volatility using data from 56 countries. We find a strong positive relation between fundamental idiosyncratic volatility and idiosyncratic volatility of returns. This association, however, seems to be entirely concentrated in the developed economies, and we find no effect in the emerging markets. Specifically, fundamental idiosyncratic volatility does not lead to more idiosyncratic return volatility in countries with poor legal institutions and weak shareholder protection laws. © 2021 Elsevier Inc
  6. Keywords:
  7. Idiosyncratic volatility ; Institutions ; Investor protection ; International markets ; Comovement ; Cash flow
  8. Source: Global Finance Journal ; Volume 50 , 2021 ; 10440283 (ISSN)
  9. URL: https://www.sciencedirect.com/science/article/pii/S104402832100065X?via%3Dihub