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- W1996963291 abstract "Studies have claimed that the “idiosyncratic volatility puzzle” in the firm-level data can be explained by certain time-series properties of the firm-specific shocks. The absence of this puzzle in the country-level index data implies that the time-series properties of the country-specific shocks are different from those of the firm-specific shocks. We find that the differences are, first, lagged idiosyncratic volatility is a better proxy for expected idiosyncratic risk in the country-level data. Second, idiosyncratic skewness is not a significant factor determining country-level index returns. Finally, country-specific index returns show momentum, as opposed to return reversals documented in the firm-level data. ► The idiosyncratic volatility puzzle is not present in country-level equity indices. ► Time-series properties of country-specific and firm-specific shocks are different. ► Country-specific volatility is more persistent than firm-specific volatility. ► Country-specific return skewness is not significant enough to affect index returns. ► Investment strategies in forming global and domestic portfolios should differ." @default.
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- W1996963291 date "2013-01-01" @default.
- W1996963291 modified "2023-09-25" @default.
- W1996963291 title "Country-specific idiosyncratic risk and global equity index returns" @default.
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- W1996963291 doi "https://doi.org/10.1016/j.iref.2012.07.014" @default.
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