The International Commonality of Idiosyncratic Variances
成果类型：
Article
署名作者：
Bekaert, Geert; Wang, Xue; Zhang, Xiaoyan
署名单位：
Columbia University; Centre for Economic Policy Research - UK; Tsinghua University
刊物名称：
MANAGEMENT SCIENCE
ISSN/ISSBN：
0025-1909
DOI：
10.1287/mnsc.2022.01398
发表日期：
2025
关键词：
摘要：
We document strong global commonality in country idiosyncratic return variances across 23 developed markets, which is stronger than international return commonality. The global common factor of idiosyncratic return variances is highly correlated with that of idiosyncratic cash flow variances and is also significantly related to variables capturing aggregate discount rate variation and the conditional market variance. Furthermore, aggregate idiosyncratic return and cash flow variances are mostly but not always countercyclical.