Patterns and Pricing of Idiosyncratic Volatility in the French Stock Market (2018)
AuthorsLiu Z, Nartea GV, Wu Jshow all
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.
KeywordsIdiosyncratic Volatility; Regime Switch Model; Asset Pricing; France
ANZSRC Fields of Research14 - Economics
15 - Commerce, Management, Tourism and Services::1502 - Banking, Finance and Investment