波动性(金融)
套利
经济
信息不对称
计量经济学
不对称
金融经济学
微观经济学
物理
量子力学
作者
Zhaobo Zhu,Wenjie Ding,Y. Jiang,Dehua Shen
标识
DOI:10.1016/j.ribaf.2023.102085
摘要
This paper argues fundamental information help resolve information uncertainty that leads to high idiosyncratic volatility premium. The IVOL-return relation is negative for stocks with poor fundamental strength but positive for stocks with strong fundamental strength. The arrival of fundamental news weakens the negative IVOL effect. Our findings are robust for alternative model specifications. Moreover, the negative IVOL effect dominates the positive IVOL effect due to arbitrage asymmetry that buying is easier than short selling stocks. Consistent with arbitrage asymmetry, the negative IVOL effect is stronger for stocks with low institutional ownership and following high investor sentiment. Overall, we provide a simple fundamental-based explanation for idiosyncratic volatility puzzle.
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