Advanced Search
MyIDEAS: Login

Does Idiosyncratic Volatility Matter? New Zealand Evidence

Contents:

Author Info

  • Michael E. Drew

    (School of Economics and Finance, Queensland University of Technology, GPO Box 2434, Brisbane, Queensland 4001, Australia)

  • Alastair Marsden

    (Department of Accounting and Finance, The University of Auckland Business School, Private Bag 92019, Auckland, New Zealand)

  • Madhu Veeraraghavan

    ()
    (Department of Accounting and Finance, Monash University, Clayton Campus, Victoria 3800, Melbourne, Australia)

Abstract

Standard asset pricing models ignore idiosyncratic risk. In this study, we examine if idiosyncratic or unique risk affects returns for New Zealand stocks using the factor portfolio mimicking approach of Fama and French (1993, 1996). We find evidence of a negative relationship between firm size and a stock's idiosyncratic volatility. We also find that high idiosyncratic volatility firms have high betas and generate low earnings on book equity.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.worldscinet.com/cgi-bin/details.cgi?type=pdf&id=pii:S0219091507001070
Download Restriction: Access to full text is restricted to subscribers.

File URL: http://www.worldscinet.com/cgi-bin/details.cgi?type=html&id=pii:S0219091507001070
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by World Scientific Publishing Co. Pte. Ltd. in its journal Review of Pacific Basin Financial Markets and Policies.

Volume (Year): 10 (2007)
Issue (Month): 03 ()
Pages: 289-308

as in new window
Handle: RePEc:wsi:rpbfmp:v:10:y:2007:i:03:p:289-308

Contact details of provider:
Web page: http://www.worldscinet.com/rpbfmp/rpbfmp.shtml

Order Information:
Email:

Related research

Keywords: Idiosyncratic volatility; asset pricing; unique risk; JEL Classification: G120; JEL Classification: G150;

Find related papers by JEL classification:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:wsi:rpbfmp:v:10:y:2007:i:03:p:289-308. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Tai Tone Lim).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.