The idiosyncratic volatility anomaly: Corporate investment or investor mispricing?

Malagón Penen, Juliana; Moreno, Jesús David; Rodríguez, Rosa

The idiosyncratic volatility anomaly: Corporate investment or investor mispricing?

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

Publisher: Elsevier

Issued date: 2015-11-01

Citation: Malagon, J., Moreno, D., & Rodríguez, R. (2015). The idiosyncratic volatility anomaly: Corporate investment or investor mispricing? Journal of Banking & Finance, 60, pp. 224-238.

ISSN: 0378-4266

DOI: https://doi.org/10.1016/j.jbankfin.2015.08.014

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

Sponsor: Rosa Rodríguez acknowledges financial support from Ministerio de Economía y Competitividad grant ECO2012-36559. David Moreno acknowledges financial support from Ministerio de Economía y Competitividad grant ECO2013-42849-P

Project: Gobierno de España. ECO2012-36559
Gobierno de España. ECO2013-42849-P

Keywords: Idiosyncratic risk , Corporate investment , Investor mispricing , Valuation theory , Accruals anomaly , Profitability , Cross-section

JEL Classification: G12

URI: http://hdl.handle.net/10016/34974

Rights: © 2015 Elsevier B.V. All rights reserved
Atribución-NoComercial-SinDerivadas 3.0 España

Abstract:

Most of the literature on the idiosyncratic volatility anomaly has focused on plausible explanations for it based on investor preferences, investor irrationality or market characteristics. Surprisingly, the role of asset-pricing models and firm characteristics [+]

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