Publication: Trend and Reversal of Idiosyncratic Volatility Revisited
Trend and Reversal of Idiosyncratic Volatility Revisited
Date
Date
Date
Citations
Leippold, M., & Svatoň, M. (2023). Trend and Reversal of Idiosyncratic Volatility Revisited. Critical Finance Review, 12(1–4), 171–202. https://doi.org/10.1561/104.00000129
Abstract
Abstract
Abstract
We reexamine the existence of an upward trend in the idiosyncratic volatility (IV) of US-listed stocks between 1962 and 2000 documented in Campbell et al. (2001). Following the same methodology as in their paper, we confirm the upward trend and the subsequent reversal, as reported by Bekaert et al. (2012). However, taking a closer look, we find that this result is influenced by microstructure biases in realized variances and correlations based on daily returns. Correcting these biases, we find that, depending on whether we use equal-
Metrics
Downloads
Views
Additional indexing
Creators (Authors)
- Svatoň, Michal
Volume
Volume
Volume
Number
Number
Number
Page range/Item number
Page range/Item number
Page range/Item number
Page end
Page end
Page end
Item Type
Item Type
Item Type
In collections
Dewey Decimal Classifikation
Dewey Decimal Classifikation
Dewey Decimal Classifikation
Language
Language
Language
Publication date
Publication date
Publication date
Date available
Date available
Date available
ISSN or e-ISSN
ISSN or e-ISSN
ISSN or e-ISSN
OA Status
OA Status
OA Status
Publisher DOI
Metrics
Downloads
Views
Citations
Leippold, M., & Svatoň, M. (2023). Trend and Reversal of Idiosyncratic Volatility Revisited. Critical Finance Review, 12(1–4), 171–202. https://doi.org/10.1561/104.00000129
