Aggregate idiosyncratic volatility
By: Geert Bekaert, Robert J. Hodrick, Xiaoyan Zhang
Contributors: Hodrick, Robert J.; Zhang, Xiaoyan; National Bureau of Economic Research
Series: NBER working paper series -- working paper 16058; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 16058.
Publisher: National Bureau of Economic Research
Published: 2010
Place of publication: Cambridge, MA
Language: eng
Format: [electronic resource] /
Description: "We examine aggregate idiosyncratic volatility in 23 developed equity markets, measured using various methodologies, and we find no evidence of upward trends.  Instead, idiosyncratic volatility appears to be well described by a stationary autoregressive process that occasionally switches into a higher-variance regime that has relatively short duration.  We also document that idiosyncratic volatility is highly correlated across countries.  Finally, we examine the determinants of the time-variation in idiosyncratic volatility.  In most specifications, the bulk of idiosyncratic volatility can be explained by a growth opportunity proxy, total (US) market volatility, and in most but not all specifications, the variance premium, a business cycle sensitive risk indicator.  Our results have important implications for studies of portfolio diversification, return volatility and contagion"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 6/15/2010.

Includes bibliographical references.

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