Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 26 for “"idiosyncratic volatility"”.
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New Factor Structure Models and Idiosyncratic Volatility
… around the industry groups and the exchanges. Idiosyncratic volatility calculated using the new factor structure models tend to be smaller than those calculated using the traditional Fama-French model. By sorting portfolios using the idiosyncratic volatility computed using the new factor …
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On the Analysis of Firm Value and Idiosyncratic Volatility
… covering the following topics in firm value and volatility: valuation of agency cost, valuation of the underpricing in IPOs and the idiosyncratic volatility of public firms. In Chapter 1, I briefly introduce three topics studied in my dissertation. In addition, I summarized the stochastic …
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Two Essays in Finance: The Consequences of Mandated Compensation Disclosure, and The Idiosyncratic Volatility Puzzle
… second essay of my dissertation focuses on the idiosyncratic volatility puzzle - the negative relation between estimated idiosyncratic volatility and the subsequent month returns documented by Ang et al (2006). We document a systematic pattern of temporary increases in the estimated …
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Volatility risk and stock return predictability on global financial crises
… empirical studies for investigating the role of volatility risk on stock return predictability specified on two global financial crises: the dot-com bubble and recent financial crisis. Using a broad sample of stock options traded at the American Stock Exchange and the Chicago Board Options …
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Two Essays on the Cross-Section of Stock Returns
… distinct topics. First, I examine whether the idiosyncratic volatility discount anomaly documented by Ang, Hodrick, Xing, and Zhang (2006, 2009) is related to earnings shocks, and I find that a substantial portion of the idiosyncratic volatility discount can be explained by earnings momentum …
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Accurals quality and price synchronicity
… literature shows that accruals quality reduces idiosyncratic volatility which tends to be negatively correlated with price synchronicity. If the latter effects dominate the relation between accruals quality and price synchronicity, we should observe a positive relationship between accruals …
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An investigation of stock market volatility in Chinese stock markets and the effects of institutional investors
… literature on the investigation of stock market volatility in Chinese stock markets and the effects of institutional investors.;Chapter 2 focuses on the key characteristics of China's stock market that the volatility of stock returns tends to be greater, and to persist for longer, than is typical …
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Three Essays on Market Efficiency and Limits to Arbitrage
… of three essays. The first essay focuses on idiosyncratic volatility as a primary arbitrage cost for short sellers. Previous studies document (i) negative abnormal returns for high relative short interest (RSI) stocks, and (ii) positive abnormal returns for low RSI stocks. We examine whether …
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Essays on Investor Attention
… investor attention on the relationship between idiosyncratic volatility and stock return. I find that idiosyncratic volatility positively predicts future stock return when investor attention is high. When investor attention is low, the predictive power is insignificant. The stock returns for …
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Essays on Liquidity Risk and Asset Pricing
… the second essay, I explore the relation between idiosyncratic volatility and the cross-section of expected returns. I use an EGARCH model to estimate the forecasted idiosyncratic volatility (FIVOL) and find that this estimate is not affected by the microstructure biases embodied by bid-ask …
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Are Idiosyncratic Skewness and Idiosyncratic Kurtosis Priced?
This thesis investigates the pricing effects of idiosyncratic moments. We document that idiosyncratic moments, namely idiosyncratic skewness and idiosyncratic kurtosis vary over time. If a factor/characteristic is priced, it must show minimum variation to be correlated with stock returns. Moreover, …
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Are Idiosyncratic Skewness and Idiosyncratic Kurtosis Priced?
This thesis investigates the pricing effects of idiosyncratic moments. We document that idiosyncratic moments, namely idiosyncratic skewness and idiosyncratic kurtosis vary over time. If a factor/characteristic is priced, it must show minimum variation to be correlated with stock returns. Moreover, …
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An Essay on Cash Flows in Finance
… lacking such coordinating events (e.g., idiosyncratic volatility). Discrete anomalies exhibit procyclical cash-flow patterns consistent with risk-based pricing. In contrast, continuous anomalies show countercyclical cash-flow patterns that hedge macroeconomic conditions. Building upon …
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Essays in macroeconomics
… relationship between aggregate macroeconomic volatility and idiosyncratic firm-level volatility. This relationship is a testable implication of a rich set of theoretical models available in the literature. I propose a consistent estimator of the variance of firms' real sales growth rate (proxy …
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The buyback anomaly and using the undervaluation index on the Johannesburg Stock Exchange
… between positive long-term excess returns and idiosyncratic volatility and combining volatility with Peyer and Vermaelen's undervaluation predictors.
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Three Essays on Behavioral Bias in the Financial Market
… exogenous shocks happen. Finally, both firms' idiosyncratic volatility and political risk increase when firms mention more on foreign countries affected by the exogenous shocks.
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Three Essays on Behavioral Bias in the Financial Market
… exogenous shocks happen. Finally, both firms' idiosyncratic volatility and political risk increase when firms mention more on foreign countries affected by the exogenous shocks.
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Does the Nature of the Crisis Matter? A Study of Global Bank Performance during a Credit Crisis, The Debt Crisis &; Health Crisis
… respectively. Higher liquidity, loans, beta, and idiosyncratic volatility as well as a lower credit-loss ratio explained the poor performance of banks during the GFC. The negative spillover effects from the GFC significantly hindered banks' lending capacity and ability to obtain funding from the …
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Three essays on mispricing and market efficiency
… investigates the effect of price inefficiency on idiosyncratic risk and stock returns. I finds that price inefficiency in individual stocks contributes to expected idiosyncratic volatility. If idiosyncratic risk is priced, greater price inefficiency could be associated with higher expected …
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Three Essays on Asset Pricing
… I use an option-based approach to characterize idiosyncratic jump risk for a large number of firms over a twenty-year period. I find that idiosyncratic jump risk carries a significant negative risk premium. It correlates with certain firm characteristics and can explain part of the idiosyncratic …
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