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    Patterns and Pricing of Idiosyncratic Volatility in the French Stock Market (2018)

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    Type of Content
    Journal Article
    UC Permalink
    http://hdl.handle.net/10092/17286
    
    Publisher's DOI/URI
    https://doi.org/10.4236/tel.2018.81005
    
    ISSN
    2162-2078
    2162-2086
    Collections
    • Business: Journal Articles [255]
    Authors
    Liu Z
    Nartea GV
    Wu J
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    Abstract

    We investigate the time series behavior of idiosyncratic volatility and its role in asset pricing in France. We find that both aggregate idiosyncratic and market volatility exhibit regime switching behavior similar to that in the U.S. and other developed countries. Furthermore, we find a marginally significant negative IVOL effect in the French stock market. We add new evidence to the mounting results questioning the ubiquity of the IVOL effect which highlights the importance of country verification of so called anomalies in the US, even in developed markets.

    Keywords
    Idiosyncratic Volatility; Regime Switch Model; Asset Pricing; France
    ANZSRC Fields of Research
    14 - Economics
    15 - Commerce, Management, Tourism and Services::1502 - Banking, Finance and Investment
    Rights
    Copyright © 2018 by authors and Scientific Research Publishing Inc. This work is licensed under the Creative Commons Attribution International License (CC BY 4.0). http://creativecommons.org/licenses/by/4.0/

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