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

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Type of Content
Journal ArticleISSN
2162-20782162-2086
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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; FranceANZSRC Fields of Research
14 - Economics15 - 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/Related items
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