- Title
- Has Idiosyncratic Volatility Increased? Not in Recent Times
- Creator
- Chiah, Mardy; Gharghori, Philip; Zhong, Angel
- Relation
- Critical Finance Review Vol. 12, Issue 1-4, p. 125-170
- Publisher Link
- http://dx.doi.org/10.1561/104.00000127
- Publisher
- Now Publishers
- Resource Type
- journal article
- Date
- 2023
- Description
- This study successfully replicates the key findings of Campbell et al. (2001). We document that aggregate idiosyncratic volatility increases over their sample period from 1962 to 1997. In out-of-sample analysis from 1926 to 1962 and 1998 to 2017, we find that idiosyncratic volatility (IV) decreases, suggesting that their finding is sample-specific. We compare their measure of IV with those obtained from models such as the Fama and French (1993) three-factor model and find that they are very similar. The Campbell et al. (2001) volatility measures can only be estimated at the aggregate level. An advantage of asset pricing model-based IVs is that they can be estimated at the stock level. Employing these stock-level IV measures, we examine trends in a variety of IV series and how IV relates to commonly analyzed firm characteristics. In doing so, we provide further insight into IV and its time-series trends.
- Subject
- G12; idiosyncratic volatiity; market volatiity; asset pricing
- Identifier
- http://hdl.handle.net/1959.13/1495716
- Identifier
- uon:54050
- Identifier
- ISSN:2164-5744
- Rights
- The final publication is available from now publishers via http://dx.doi.org/10.1561/104.00000127.
- Language
- eng
- Full Text
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