A novel explanation for idiosyncratic volatility anomaly: An asset decomposition perspective

Liu Hao; Chen Yue; Wan Wei; Zhang Qun

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A novel explanation for idiosyncratic volatility anomaly: An asset decomposition perspective

机译：一种新的特质挥发性异常解释：资产分解视角

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While a number of explanations for the idiosyncratic volatility anomaly involve investor preferences, investor irrationality, or institutional settings, we decompose the idiosyncratic volatility into growth options and assets in place components. Our empirical results suggest that the growth options component cannot be diversified away; consequently, the idiosyncratic volatility anomaly is primarily driven by the effect of growth options on stock returns rather than that of assets in place. Our findings offer a novel perspective in explaining the idiosyncratic volatility anomaly. (C) 2021 Elsevier B.V. All rights reserved.

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来源
《Economics letters》 |2021年第9期|109994.1-109994.5|共5页
作者
Liu Hao; Chen Yue; Wan Wei; Zhang Qun;
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作者单位

Guangdong Univ Foreign Studies Sch Finance Higher Educ Mega Ctr Guangzhou 510006 Guangdong Peoples R China|Higher Educ Mega Ctr Inst Financial Openness & Asset Management Guangzhou 510006 Guangdong Peoples R China;

Guangdong Univ Foreign Studies Sch Finance Higher Educ Mega Ctr Guangzhou 510006 Guangdong Peoples R China;

Chongqing Univ Technol Accounting Sch Hongguang Ave Chongqing 410054 Peoples R China;

Guangdong Univ Foreign Studies Sch Finance Higher Educ Mega Ctr Guangzhou 510006 Guangdong Peoples R China|Higher Educ Mega Ctr Inst Financial Openness & Asset Management Guangzhou 510006 Guangdong Peoples R China|Higher Educ Mega Ctr Southern China Inst Fortune Management Res Guangzhou 510006 Guangdong Peoples R China;

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原文格式 PDF
正文语种 eng
中图分类
关键词
Idiosyncratic volatility anomaly; Growth options; Stock return;

机译：特质挥发性异常;增长选择;股票回报;

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2. Dynamics of Idiosyncratic Volatility and Market Volatility: An Emerging Market Perspective [J] . PEI PEI TAN, DON U.A. GALAGEDERA Global economic review . 2015,第1期

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3. The Idiosyncratic Volatility Puzzle: A Time-Specific Anomaly [J] . Xindong Zhang, Jianying Li, Xiaoli Wang, Journal of Mathematical Finance . 2021,第2期

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4. The Study of Idiosyncratic Volatility Anomalies and Reasons in China——To Explain the Puzzle of Idiosyncratic Volatility Based on Econometric Methods [C] . LI Zhuwei, Ruibo Yang, YIN Xiaoting, International conference on financial risk and corporate finance management . 2013

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A novel explanation for idiosyncratic volatility anomaly: An asset decomposition perspective

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