What drives idiosyncratic volatility over time?

• Tipo: Artigo em Revista Científica Internacional
• Data: 2008

Autores

Sónia Sousa (Autor) Outra; Ana Paula Serra (Autor) FEP

Revista

Título: Portuguese Economic Journal

Vol. 7 Nº 3

Páginas: 155-181

ISSN: 1617-982X

Editora: Springer Nature

Indexação

ISI Web of Knowledge - 3 Citações

ISI Web of Science

Scopus - 4 Citações

Econlit

Classificação Científica

CORDIS: Ciências Sociais

Outras Informações

ID Authenticus: P-003-TR3

DOI: 10.1007/s10258-008-0031-7

Abstract (EN): We document the patterns of market-wide and firm-specific volatility in the Portuguese stock market over the 1991-2005 period and test several explanations for the behavior of firm-level idiosyncratic volatility. Unlike previous studies we find no evidence of a statistically significant rise in firm-specific volatility. On the contrary, the ratio of firm-specific risk to total risk slightly decreases. We show that this result stems from new listings of large privatized companies that display lower firm-specific risk. Our findings are consistent with the idea that changes in idiosyncratic volatility are related to changes in the composition of the market.

Idioma: Português

Tipo (Avaliação Docente): Científica