1 resultados
Resultados de la búsqueda
Mostrando 1 - 1 de 1
Ítem Idiosyncratic volatility and stock returns: Evidence from the MILA(Elsevier Ltd, 2016-05-01) Cardona, EmilioThis paper examines the association between idiosyncratic volatility and stock returns in the MILA from 2001 to 2014. Based on portfolio strategies that rely on one- or two-way sorts, we find that idiosyncratic risk is not a predictor of returns in the whole period or during high or low volatility months in the integrated market. We confirm the lack of an idiosyncratic volatility effect in a multivariate setting conducting errors-in-variables-free panel regressions. Overall, unsystematic risk is not a priced factor in the MILA, in line with predictions of several pricing models and recent literature in the U.S. market. © 2016 Elsevier B.V.