文章基本信息

标题：Patterns and Pricing of Idiosyncratic Volatility in the French Stock Market
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作者：Zhentao Liu ; Gilbert V. Nartea ; Ji Wu 等
期刊名称：Theoretical Economics Letters
印刷版ISSN：2162-2078
电子版ISSN：2162-2086
出版年度：2018
卷号：08
期号：01
页码：79-97
DOI：10.4236/tel.2018.81005
语种：English
出版社：Scientific Research Publishing
摘要：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.
关键词：Idiosyncratic Volatility;Regime Switch Model;Asset Pricing;France