Idiosyncratic volatility and stock returns: Evidence from the MILA
This 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 m...
| Autores: | , , |
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| Tipo de recurso: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2016 |
| País: | Colombia |
| Institución: | Universidad de los Andes |
| Repositorio: | Séneca: repositorio Uniandes |
| Idioma: | inglés |
| OAI Identifier: | oai:repositorio.uniandes.edu.co:1992/46948 |
| Acceso en línea: | http://hdl.handle.net/1992/46948 https://www.sciencedirect.com/science/article/pii/S0275531916300113 |
| Access Level: | acceso abierto |
| Palabra clave: | Idiosyncratic risk Emerging markets Latin American Integrated Market |
| Sumario: | This 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. |
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