Idiosyncratic volatility, conditional liquidity and stock returns

Malagon, Juliana; Moreno, Jesús David; Rodríguez, Rosa

Idiosyncratic volatility, conditional liquidity and stock returns

Author(s): Malagon, Juliana; Moreno, Jesús David; Rodríguez, Rosa

Publisher: Elsevier

Issued date: 2018-01-01

Citation: Malagon, J., Moreno, D., & Rodríguez, R. (2018). Idiosyncratic volatility, conditional liquidity and stock returns. International Review of Economics & Finance,53, pp. 118-132

ISSN: 1059-0560

DOI: https://doi.org/10.1016/j.iref.2017.10.011

xmlui.dri2xhtml.METS-1.0.item-contributor-funder: Ministerio de Economía y Competitividad (España)

Sponsor: Juliana Malagon acknowledges financial support from Universidad de Los Andes, Fondo de Apoyo para Profesores Asistentes [grant number P17.100322.004]. David Moreno acknowledges financial support from Ministerio de Ciencia y Tecnología [grant number ECO2013-42849-P]. Rosa Rodriguez acknowledges financial support from the Ministry of Economics and Competitiveness [grant number ECO2015-67035-P] and from Banco de España through the grant financing the research in macroceconomics, monetary economics finance and banking.

Project: Gobierno de España. ECO2013-42849-P
Gobierno de España. ECO2015-67035-P

Keywords: Idiosyncratic risk , Idiosyncratic volatility anomaly , Regime switching model , Flight to liquidity

JEL Classification: G12

URI: http://hdl.handle.net/10016/33642

Rights: Atribución-NoComercial-SinDerivadas 3.0 España

Abstract:

There is strong evidence showing that stocks with higher levels of idiosyncratic risk provide relatively lower returns than stocks with lower levels of it. This paper points out that this negative idiosyncratic risk - expected returns relation is not pervasive [+]

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