On the Robustness of Idiosyncratic Volatility Effect

• 成果类型: Article; Early Access
• 署名作者: Barinov, Alexander
• 署名单位: University of California System; University of California Riverside
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2022.04140
• 发表日期: 2024
• 关键词: IDIOSYNCRATIC VOLATILITY; anomalies; liquidity; short-term reversal; selection bias

摘要

The idiosyncratic volatility (IVol) effect is robust to restricting the sample to New York Stock Exchange (NYSE) firms (once the proper listing indicator is used) and to excluding from the sample small, illiquid, and low -price stocks. The idiosyncratic volatility effect is also unlikely to stem from the short -run reversal, as the IVol effect stays significant for about six months and seems stronger for high turnover firms, which do not exhibit short-term reversal. The IVol effect also does not seem to weaken postpublication.